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A multifactor sector model for the stock market: evidence from Spain

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1998
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Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
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Abstract
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.
Se presenta un modelo de factores para relacionar la evolución de la Bolsa con el entorno macroeconómico. El objetivo es señalar que dicha relación no es uniforme en todos los valores cotizados, sino que varía entre los distintos sectores de actividad. En una aplicación empírica a la Bolsa de Madrid se detectan y cuantifican dichas diferencias. Mediante ejercicios de predicción se constata que es posible incrementar sensiblemente la capacidad predictiva de los modelos habituales utilizando de modo apropiado la información contenida en las variables macroeconómicas.
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