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

Bibtex export

@article{ Jareño2008,
 title = {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},
 author = {Jareño, Francisco},
 journal = {Applied Economics},
 number = {24},
 pages = {3159-3171},
 volume = {40},
 year = {2008},
 doi = {https://doi.org/10.1080/00036840600994187},
 urn = {https://nbn-resolving.org/urn:nbn:de:0168-ssoar-241033},
 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.},
}