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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

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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.
Classification Political Economy; Management Science; Financial Planning, Accountancy
Free Keywords Real interest and inflation sensitivity; Stock return; Determinants of interest sensitivity
Document language English
Publication Year 2008
Page/Pages p. 3159-3171
Journal Applied Economics, 40 (2008) 24
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)