Interest Rate Sensitivity of Spanish Companies. An Extension of the Fama-French Five-Factor Model

Francisco Jareño (), María De La O González (), Marta Tolentino () and Sara Rodríguez ()
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María De La O González: Department of Economics and Finance, University of Castilla-La Mancha, Faculty of Economic and Business Sciences, Albacete, Spain
Marta Tolentino: Department of Economics and Finance, University of Castilla-La Mancha, School of Law and Social Sciences, Ciudad Real, Spain
Sara Rodríguez: Actuarial and Financial Sciences, University of Alcalá, Faculty of Economic and Business Sciences and Tourism, Madrid, Spain

Acta Oeconomica, 2018, vol. 68, issue 4, 617-638

Abstract: This paper studies the sensitivity of share prices of Spanish companies included in the IBEX-35 to changes in different explanatory variables, such as market returns, interest rates and factors proposed by Fama and French (1993, 2015) between 2000 and 2016. In addition, for robustness, this paper analyses whether the sensitivity of stock returns is different between two periods: precrisis and recent financial crisis. The results confirm that, in general, all the considered factors are relevant. Furthermore, “market return” and “size” factors show greater explanatory power, together with the “value” factor in the crisis period. Regarding the analysis at sector level, “Oil and Energy”, “Basic Materials, Industry and Construction” and “Financial and Real Estate Services” sectors appear to be highly sensitive to changes in the risk factors included in the asset pricing factor model.

Keywords: stock market; stock returns; Fama and French factors (search for similar items in EconPapers)
JEL-codes: G11 G15 O51 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (6)

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