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Asymmetry in the systematic risk: an analysis in the Spanish stock market
dc.contributor.author | Rull Hernández, Cristina | |
dc.contributor.other | Matallín Sáez, Juan Carlos | |
dc.contributor.other | Universitat Jaume I. Departament de Finances i Comptabilitat | |
dc.date.accessioned | 2017-10-10T17:39:59Z | |
dc.date.available | 2017-10-10T17:39:59Z | |
dc.date.issued | 2017-07-17 | |
dc.identifier.uri | http://hdl.handle.net/10234/169298 | |
dc.description | Treball Final de Grau en Finances i Comptabilitat. Codi: FC1049. Curs acadèmic: 2016/2017 | ca_CA |
dc.description.abstract | The objective of this paper is to analyze the asymmetry in systematic risk, that this, the existence of different betas depending on the evolution of the market. Based on a sample of shares of Spanish stock market, the contrast is performed in three different valuation models, incorporating the beta up and beta down coefficients, with different risk factors. The results obtained show an asymmetric behavior in the yields of the assets, obtaining a negative market timing, which means an increase of the sensitivity to the market performance in bearish moments. | ca_CA |
dc.format.extent | 31 p. | ca_CA |
dc.format.mimetype | application/pdf | ca_CA |
dc.language.iso | eng | ca_CA |
dc.publisher | Universitat Jaume I | ca_CA |
dc.rights.uri | http://rightsstatements.org/vocab/CNE/1.0/ | * |
dc.subject | Grau en Finances i Comptabilitat | ca_CA |
dc.subject | Grado en Finanzas y Contabilidad | ca_CA |
dc.subject | Bachelor's Degree in Finance and Accounting | ca_CA |
dc.subject | asymmetry | ca_CA |
dc.subject | systematic risk | ca_CA |
dc.subject | beta | ca_CA |
dc.subject | timing | ca_CA |
dc.subject | stock | ca_CA |
dc.title | Asymmetry in the systematic risk: an analysis in the Spanish stock market | ca_CA |
dc.type | info:eu-repo/semantics/bachelorThesis | ca_CA |
dc.educationLevel | Estudios de Grado | ca_CA |
dc.rights.accessRights | info:eu-repo/semantics/restrictedAccess | ca_CA |
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