Asymmetry in the systematic risk: an analysis in the Spanish stock market
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Title
Asymmetry in the systematic risk: an analysis in the Spanish stock marketAuthor (s)
Tutor/Supervisor; University.Department
Matallín Sáez, Juan Carlos; Universitat Jaume I. Departament de Finances i ComptabilitatDate
2017-07-17Publisher
Universitat Jaume IAbstract
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 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. [-]
Subject
Description
Treball Final de Grau en Finances i Comptabilitat. Codi: FC1049. Curs acadèmic: 2016/2017
Type
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info:eu-repo/semantics/restrictedAccess