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The Impact of Relevant International Factors on the Returns of IBEX 35 Companies, 2000-2016

Listed author(s):
  • M. Caridad SEVILLANO
  • Francisco JAREÑO
Registered author(s):

    This paper focuses on analyzing the effect of different international variables on the returns of companies in the IBEX 35. Previous research has focused on analyzing the impact of national factors (US stock market, US interest rates, oil price, and two financial stress indices: CFSI and VIX) on the domestic market. This paper adopts a different perspective to study the sensitivity of business returns. It first analyzes the individual level of companies and then analyzes the sector level. It also studies the effect of the economic crisis on the sensitivity of stock returns. To conclude, the impact of international factors on corporate returns differs from the effects of national variables demonstrated in previous research.

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    File URL: http://www.usc.es/~economet/journals1/aeid/aeid1713.pdf
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    Article provided by Euro-American Association of Economic Development in its journal Applied Econometrics and International Development.

    Volume (Year): 17 (2017)
    Issue (Month): 1 ()
    Pages: 37-56

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    Handle: RePEc:eaa:aeinde:v:17:y:2017:i:1_3
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    1. Cunado, J. & Perez de Gracia, F., 2005. "Oil prices, economic activity and inflation: evidence for some Asian countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(1), pages 65-83, February.
    2. Jareño, Francisco & Navarro, Eliseo, 2010. "Stock interest rate risk and inflation shocks," European Journal of Operational Research, Elsevier, vol. 201(2), pages 337-348, March.
    3. Memmel, Christoph, 2011. "Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 282-289, February.
    4. Cong, Rong-Gang & Wei, Yi-Ming & Jiao, Jian-Lin & Fan, Ying, 2008. "Relationships between oil price shocks and stock market: An empirical analysis from China," Energy Policy, Elsevier, vol. 36(9), pages 3544-3553, September.
    5. Fama, Eugene F. & French, Kenneth R., 2015. "A five-factor asset pricing model," Journal of Financial Economics, Elsevier, vol. 116(1), pages 1-22.
    6. Stone, Bernell K., 1974. "Systematic Interest-Rate Risk in a Two-Index Model of Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(05), pages 709-721, November.
    7. Söhnke Bartram, 2002. "The Interest Rate Exposure of Nonfinancial Corporations," Review of Finance, European Finance Association, vol. 6(1), pages 101-125.
    8. Shamsuddin, Abul, 2014. "Are Dow Jones Islamic equity indices exposed to interest rate risk?," Economic Modelling, Elsevier, vol. 39(C), pages 273-281.
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