Risk and return in the Spanish stock market

Sentana, Enrique (1995) Risk and return in the Spanish stock market. Financial Markets Group Discussion Papers (212). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Text (dp212) - Published Version Download (521kB)

• https://www.fmg.ac.uk/publications/discu...

Abstract

In this paper we use Spanish data to test the restrictions that a dynamic APT-type asset pricing model imposes on the risk-return relationship. For monthly returns on ten size-ranked portfolios and a value-weighted index, we find that those restrictions are rejected for different versions of the model over the period 1963-1992, as well as over two subsamples. The evidence for the conditional models suggests that the Spanish stock market is segmented, which probably reflects the fact that it is only deep for a few stocks.

Item Type:	Monograph (Discussion Paper)
Official URL:	https://www.fmg.ac.uk/
Additional Information:	© 1995 The Author
Divisions:	Financial Markets Group
Subjects:	H Social Sciences > HC Economic History and Conditions H Social Sciences > HG Finance
JEL classification:	G - Financial Economics > G1 - General Financial Markets > G10 - General
Date Deposited:	17 May 2023 10:36
Last Modified:	11 Dec 2024 19:48
URI:	http://eprints.lse.ac.uk/id/eprint/119179

Actions (login required)

View Item