Valoración de los Planes de Pensiones del Sistema Individual en España a Través del Modelo CAPM y del Modelo Ampliado con la Variable Tamaño

The main purpose of this paper is to analyse if the Capital Asset Pricing Model and a two-factor model (model extended with the size factor) can efficiently explain the variability of the returns on the Personal Pension Plans in Spain over 1995-2003. We analyse the sample of two ways: set of Plans and separated in three groups depending on the percentage of equity income. Our results do not allow to assure that these models adequately gather the variability of the returns on the Plans, although we observe a better behavior of the two-factor model on type I mixed fixed income Plans.