Abstract

http://ssrn.com/abstract=897676
 
 

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La Prima de Riesgo del Mercado: Histórica, Esperada, Exigida e Implícita (Market Risk Premium)


Pablo Fernandez


University of Navarra - IESE Business School

Jose Maria Carabias


London School of Economics

April 26, 2013


Abstract:     
La Prima de Riesgo del Mercado es uno de los parámetros financieros más investigados y controvertidos, y también uno de los que más confusión genera. Gran parte de la confusión se debe a que el término “Prima de Riesgo del Mercado” designa cuatro conceptos y realidades muy diferentes entre sí:
a) Prima de Riesgo del Mercado Histórica (PRMH): es la diferencia entre la rentabilidad histórica de la bolsa (de un índice bursátil) y la de la renta fija.
b) Prima de Riesgo del Mercado Esperada (PRME): es el valor esperado de la rentabilidad futura de la bolsa por encima de la de la renta fija.
c) Prima de Riesgo del Mercado Exigida (PRMX): es la rentabilidad incremental que un inversor exige al mercado bursátil (a una cartera diversificada) por encima de la renta fija sin riesgo (required equity premium). Es la que se debe utilizar para calcular la rentabilidad exigida a las acciones.
d) Prima de Riesgo del Mercado Implícita (PRMI): es la prima de riesgo del mercado exigida que se corresponde con el precio de mercado.

Muchos autores y muchos profesionales de las finanzas suponen que la PRME es igual a la PRMH y a la PRMX.

Se analizan los métodos propuestos por la literatura financiera para medirlo y se analiza la rentabilidad diferencial histórica de España y Estados Unidos.

Conclusión principal: es imposible determinar “la” prima de riesgo “del mercado” porque tal número no existe debido a las heterogéneas expectativas y a las distintas rentabilidades exigidas de los inversores.

The concept market risk premium is difficult to understand because it is used to designate three different concepts:
1. Required market risk premium. It is the incremental return of the market over the return of treasury bonds required by an investor. It is needed for calculating the required return to equity (cost of equity).
2. Historical market risk premium. It is the historical differential return of the stock market over treasury bonds.
3. Expected market risk premium. It is the expected differential return of the stock market over treasury bonds.

Many authors and finance practitioners assume that expected market risk premium is equal to the historical market risk premium and to the required market risk premium. The CAPM assumes that the required market risk premium is equal to the expected market risk premium.

The three concepts are different. The historical market risk premium is equal for all investors, but the required and the expected market risk premium are different for different investors. We also claim that there is no required market risk premium for the market as a whole: different investors use different required market risk premiums.

Note: Downloadable document is in Spanish.

Number of Pages in PDF File: 29

Keywords: required market risk premium, historical market risk premium, expected market risk premium, risk premium, equity premium, market premium, prima de riesgo

JEL Classification: G12, G31, M21

working papers series





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Date posted: April 27, 2006 ; Last revised: April 30, 2013

Suggested Citation

Fernandez, Pablo and Carabias, Jose Maria, La Prima de Riesgo del Mercado: Histórica, Esperada, Exigida e Implícita (Market Risk Premium) (April 26, 2013). Available at SSRN: http://ssrn.com/abstract=897676 or http://dx.doi.org/10.2139/ssrn.897676

Contact Information

Pablo Fernandez (Contact Author)
University of Navarra - IESE Business School ( email )
Camino del Cerro del Aguila 3
28023 Madrid
Spain
+34 91 357 0809 (Phone)
+34 91 357 2913 (Fax)
HOME PAGE: http://web.iese.edu/PabloFernandez/
Jose Maria Carabias
London School of Economics ( email )
Houghton Street
London, WC2A 2AE
United Kingdom
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