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Which are the Risk Factors in the Pricing of Personal Pension in Spain?

Yaiza García Padrón, Juan García Boza


The aim of this paper is to analyse if the Arbirtrage Pricing Theory or the model suggested by Chen, Roll and Ross (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: non-anticipated changes in the interest rate term structure and the default risk premium.

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ISSN 0034-7140 (print) ISSN 1806-9134 (online)