Risk and Return in the Spanish Stock Market

Enrique Sentana

FMG Discussion Papers from Financial Markets Group

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.

Date: 1995-08
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Working Paper: Risk and return in the Spanish stock market (1995)
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