English, Article, Journal or magazine article edition: Risk and Return in the Spanish Stock Market Enrique Sentana

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Bookmark: http://trove.nla.gov.au/version/45149
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Risk and Return in the Spanish Stock Market
Author
  • Enrique Sentana
Physical Description
  • preprint
Notes
  • 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.
  • RePEc:fmg:fmgdps:dp212
Language
  • English
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