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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
[journal article]
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 sen... view more
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.... view less
Classification
Management Science
Financial Planning, Accountancy
Political Economy
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
DOI
https://doi.org/10.1080/00036840600994187
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)