APÉNDICES

MODELO DE MERCADO. RENTABILIDADES SEMANALES
"CARTERA PONDERADA"
 aßDesviación típica de ßDesviación típica de UR2

B.BILBAO0,001450,83830,034760,021360,58296
B.CENTRAL0,001760,815190,04030,024760,49584
BANESTO0,000741,037960,044730,027480,56418
B.GUIPUZCOANO-0,000040,669050,061290,037660,22264
B.HISPANO-0,00181,122220,053360,032780,51536
B.POPULAR0,000521,178670,043330,026620,64013
B.SANTANDER0,001870,827460,041450,025470,4893
B.VIZCAYA0,002010,954360,038410,02360,59747
S.AURORA0,003920,190660,064810,039820,02038
S.BILBAO0,003610,64750,135560,083290,05199
CARTINBAO0,004460,357180,052160,032050,10131
FINSA0,006510,248180,059750,036710,03983
HIDROLA-0,001591,075160,048010,02950,54659
ALTOS HORNOS0,003461,325960,176590,10850,11935
UNION CERRAJERA0,00281,085440,173940,106870,08559
TUBACEX0,000661,473820,123320,075770,2556
TELEFONICA-0,000451,045070,039640,024360,62557
RIOTINTO0,001451,420770,13470,082760,211
PAPELERA0,00541,439760,154040,094650,17355
EMPETROL0,000221,17450,067160,041260,42494
LEMONA0,00340,672210,071290,04380,1761
VACESA0,004060,622110,066550,040890,17361
IBERDUERO-0,000571,095550,053090,032620,50585
SEVILLANA-0,001341,129570,051530,031660,53597
R2 TOTAL = 8,15511
% DE VARIANZA EXPLICADA = 33,98%
Cuadro nš 1

MODELO DE MERCADO. RENTABILIDADES SEMANALES
"CARTERA NO PONDERADA"
 aßDesviación típica de ßDesviación típica de UR2

B.BILBAO0,001010,73840,035840,023270,50502
B.CENTRAL0,001650,673930,042350,02750,37839
BANESTO0,000280,902870,046390,030120,47664
B.GUIPUZCOANO-0,001050,679390,056740,036840,02563
B.HISPANO-0,002661,02690,052210,0390,48183
B.POPULAR-0,000051,032280,045940,029830,54823
B.SANTANDER0,001670,697130,042950,027880,38779
B.VIZCAYA0,001790,801570,041680,027060,47061
S.AURORA0,003310,237460,060870,039520,03529
S.BILBAO0,000180,99560,122390,079460,13724
CARTINBAO0,003760,385560,048520,03150,13181
FINSA0,005990,272250,056140,036450,05351
HIDROLA-0,001670,8810,051840,033660,40978
ALTOS HORNOS-0,002491,89040,152060,098730,52045
UNION CERRAJERA-0,004111,827560,146990,095430,27093
TUBACEX-0,004471,897550,098190,063750,47307
TELEFONICA0,000010,782640,047820,031040,39174
RIOTINTO-0,003731,860350,11080,071940,40393
PAPELERA-0,000591,987160,127360,082690,36915
EMPETROL-0,001551,194960,059930,038910,48868
LEMONA0,001860,75470,064460,041850,24784
VACESA0,002820,673810,060890,039530,2274
IBERDUERO-0,00060,889280,056630,036770,37215
SEVILLANA-0,001370,917310,005570,036160,39469
R2 TOTAL = 8,2018
% DE VARIANZA EXPLICADA = 34,17%
Cuadro nš 2

MODELO DE MERCADO. RENTABILIDADES SEMANALES
"CARTERA FACTOR"
 aßDesviación típica de ßDesviación típica de UR2

B.BILBAO0,000370,897550,032930,019820,64107
B.CENTRAL0,001030,8240,041550,0250,48598
BANESTO-0,000361,076140,044740,026920,58175
B.GUIPUZCOANO-0,001360,782990,05970,035930,29251
B.HISPANO-0,003151,18640,052350,03150,55253
B.POPULAR-0,000871,241580,041630,025050,68135
B.SANTANDER0,001010,853740,041890,025210,49966
B.VIZCAYA0,001010,986790,038460,023150,61274
S.AURORA0,00360,214910,066020,039730,02484
S.BILBAO0,002020,806020,136550,082170,07728
CARTINBAO0,003620,438260,05190,031230,14631
FINSA0,006020,291060,06060,036460,05255
HIDROLA-0,002221,037930,052060,031330,48864
ALTOS HORNOS0,000621,588260,175640,10570,16427
UNION CERRAJERA-0,00071,47460,171070,102950,15154
TUBACEX-0,002751,802640,116130,069880,36679
TELEFONICA-0,000370,906030,049010,029490,45104
RIOTINTO-0,001881,742880,129120,07770,30458
PAPELERA0,001831,795230,148940,089630,25884
EMPETROL-0,001471,284420,064890,039050,48505
LEMONA0,002030,793430,070120,04220,23534
VACESA0,002780,736140,065450,039390,23318
IBERDUERO-0,001141,046130,057580,034650,44245
SEVILLANA-0,002091,10260,055160,03320,48988
R2 TOTAL = 8,72017
% DE VARIANZA EXPLICADA = 36,33%
Cuadro nš 3