[go: up one dir, main page]

IDEAS home Printed from https://ideas.repec.org/a/aka/aoecon/v68y2018i4p617-638.html
   My bibliography  Save this article

Interest Rate Sensitivity of Spanish Companies. An Extension of the Fama-French Five-Factor Model

Author

Listed:
  • Francisco Jareño

    (Department of Economics and Finance, University of Castilla-La Mancha, Faculty of Economic and Business Sciences, Albacete, Spain)

  • María De La O González

    (Department of Economics and Finance, University of Castilla-La Mancha, Faculty of Economic and Business Sciences, Albacete, Spain)

  • Marta Tolentino

    (Department of Economics and Finance, University of Castilla-La Mancha, School of Law and Social Sciences, Ciudad Real, Spain)

  • Sara Rodríguez

    (Actuarial and Financial Sciences, University of Alcalá, Faculty of Economic and Business Sciences and Tourism, Madrid, Spain)

Abstract
This paper studies the sensitivity of share prices of Spanish companies included in the IBEX-35 to changes in different explanatory variables, such as market returns, interest rates and factors proposed by Fama and French (1993, 2015) between 2000 and 2016. In addition, for robustness, this paper analyses whether the sensitivity of stock returns is different between two periods: precrisis and recent financial crisis. The results confirm that, in general, all the considered factors are relevant. Furthermore, “market return” and “size” factors show greater explanatory power, together with the “value” factor in the crisis period. Regarding the analysis at sector level, “Oil and Energy”, “Basic Materials, Industry and Construction” and “Financial and Real Estate Services” sectors appear to be highly sensitive to changes in the risk factors included in the asset pricing factor model.

Suggested Citation

  • Francisco Jareño & María De La O González & Marta Tolentino & Sara Rodríguez, 2018. "Interest Rate Sensitivity of Spanish Companies. An Extension of the Fama-French Five-Factor Model," Acta Oeconomica, Akadémiai Kiadó, Hungary, vol. 68(4), pages 617-638, December.
  • Handle: RePEc:aka:aoecon:v:68:y:2018:i:4:p:617-638
    as

    Download full text from publisher

    File URL: http://www.akademiai.com/doi/pdf/10.1556/032.2018.68.4.7
    Download Restriction: subscription
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. González, María de la O & Jareño, Francisco, 2019. "Testing extensions of Fama & French models: A quantile regression approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 188-204.
    2. Ana Escribano & Francisco Jareño & Jose Ángel Cano, 2023. "Study of the leading European construction companies using risk factor models," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3386-3402, July.
    3. Meng, Jia & Zhang, ZhongXiang, 2022. "Corporate environmental information disclosure and investor response: Evidence from China's capital market," Energy Economics, Elsevier, vol. 108(C).
    4. Killins, Robert N. & Egly, Peter V. & Batabyal, Sourav, 2021. "The impact of the yield curve on bank equity returns: Evidence from Canada," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 319-329.
    5. Francisco Jareño & Ana Escribano & M Pilar Torres, 2022. "Analysis of stock returns of main European service and tourism companies," Tourism Economics, , vol. 28(5), pages 1280-1310, August.
    6. Jareño, Francisco & González, María de la O & Escolástico, Alba M., 2020. "Extension of the Fama and French model: A study of the largest European financial institutions," International Economics, Elsevier, vol. 164(C), pages 115-139.

    More about this item

    Keywords

    stock market; stock returns; Fama and French factors;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • O51 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - U.S.; Canada

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aka:aoecon:v:68:y:2018:i:4:p:617-638. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kriston, Orsolya (email available below). General contact details of provider: https://akademiai.hu/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.