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Título:
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A multifactor sector model for the stock market: evidence from Spain
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Autores:
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André García, Francisco Javier ;
Nuño Sevilla, Luis Enrique ;
Pérez García, Javier-José
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Tipo de documento:
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texto impreso
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Editorial:
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Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE), 1998
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Dimensiones:
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application/pdf
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Nota general:
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cc_by_nc_sa
info:eu-repo/semantics/openAccess
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Idiomas:
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Palabras clave:
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Estado = Publicado
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Materia = Ciencias Sociales: Economía: Macroeconomía
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Materia = Ciencias Sociales: Economía: Mercados bursátiles y financieros
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Tipo = Documento de trabajo o Informe técnico
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Resumen:
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A factor model which relates the macroeconomy and the stock market evolution is presented. This relation is shown to be different among activity sectors. These differences are detected and quantified in an empirical application to the Madrid Stock Market. Forecasting experiments show that it is possible to improve the predictive ability of widely used models by means of the sensible use of the information provided by macroeconomic variables.
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En línea:
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https://eprints.ucm.es/id/eprint/28790/1/9801.pdf
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