Interest rate sensitivity of spanish companies. An extension of the Fama-French five-factor model

Jareño, Francisco and O González, María de la and Tolentino, Marta and Rodríguez, Sara (2018) Interest rate sensitivity of spanish companies. An extension of the Fama-French five-factor model. Acta Oeconomica, 68 (4). pp. 617-638. ISSN 0001-6373

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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.

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