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Risk and return in the Spanish stock market

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  • Sentana, Enrique

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.

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  • Sentana, Enrique, 1995. "Risk and return in the Spanish stock market," LSE Research Online Documents on Economics 119179, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:119179
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    Cited by:

    1. Pedro L. Sánchez-Torres & Enrique Sentana, 1998. "Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 22(1), pages 5-17, January.
    2. Gonzalo Rubio & Mikel Tapia, 1998. "The liquidity premium in equity pricing under a continuous auction system," The European Journal of Finance, Taylor & Francis Journals, vol. 4(1), pages 1-28.

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    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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