Which are the risk factors in the pricing of Personal Pension Plans in Spain?

Revista Brasileira de Economia

Yaiza García Padrón¹  Juan García Boza¹ 

[1] ,University of Las Palmas de Gran Canaria Department of Financial Economics and Accounting ,Spain

关键词: Personal Pension Plans;    multifactor pricing models;    APT;    macroeconomic variables;    risk factors;    fixed-income market;   

DOI  :  10.1590/S0034-71402006000200005

来源: SciELO

【 摘 要 】

The aim of this paper is to analyse if the Arbirtrage Pricing Theory or the model suggested by Chen et al. (1986) can efficiently explain the variability of the cross-sectional returns on the Personal Pension Plans in Spain between 1995-2003, as well as to find their sources of risks. To test both models we have followed the traditional two-step cross-sectional regressions by Fama and MacBeth (1973). The results of our analysis show two significant risk factors derived from the fixed-income market: nonanticipated changes in the interest rate term structure and the default risk premium.

【 授权许可】

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