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Spanish stock market sensitivity to real interest and inflation rates : an extension of the Stone two-factor model with factors of the Fama and French three-factor model


Jareño, Francisco


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Abstract This study is focussed on estimating the real interest and inflation sensitivity in Spanish market, proposing an extension of the Stone (1974) two-factor model and controlling for size and growth of the companies (Fama and French (1993) three-factor model), because of its importance in the stock sensitivity shown by previous literature. I also study the classical explanatory factors of the stock sensitivity: leverage and liquidity level of the firms. The Spanish stock response is similar to the response in other markets, and the "size" is higher than "growth" effect.
Klassifikation Volkswirtschaftslehre; Management; Finanzwirtschaft, Rechnungswesen
Freie Schlagwörter Real interest and inflation sensitivity; Stock return; Determinants of interest sensitivity
Sprache Dokument Englisch
Publikationsjahr 2008
Seitenangabe S. 3159-3171
Zeitschriftentitel Applied Economics, 40 (2008) 24
DOI http://dx.doi.org/10.1080/00036840600994187
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)