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Risk and Return in the Spanish Stock Market

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  • Enrique Sentana

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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File URL: http://www.lse.ac.uk/fmg/workingPapers/discussionPapers/fmg_pdfs/dp212.pdf
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Bibliographic Info

Paper provided by Financial Markets Group in its series FMG Discussion Papers with number dp212.

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Date of creation: Aug 1995
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Handle: RePEc:fmg:fmgdps:dp212

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Web page: http://www.lse.ac.uk/fmg/

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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.

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