Risk and return in the Spanish stock market

Enrique Sentana

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: In this paper we use Spanish data to test the restrictions that a dynamic APT-type asset pricing model imposes on the risk-return relationship. For monthly returns on ten size-ranked portfolios and a value-weighted index, we find that those restrictions are rejected for different versions of the model over the period 1963-1992, as well as over two subsamples. The evidence for the conditional models suggests that the Spanish stock market is segmented, which probably reflects the fact that it is only deep for a few stocks.

JEL-codes: G10 (search for similar items in EconPapers)
Pages: 36 pages
Date: 1995-08-01
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http://eprints.lse.ac.uk/119179/ Open access version. (application/pdf)

Related works:
Working Paper: Risk and Return in the Spanish Stock Market (1995)
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