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Determinantes fundamentales de la rentabilidad de las acciones.
By: Susana Menéndeza Requejo
ABSTRACT
The aim of this paper is to analyse the relevance of firm´s fundamentals to the expected common stock returns, trying to find if their inclusion in the pricing model improves CAPM predictions. The data set of the study includes the firms quoted on the Spanish Capital Market between 1993 and 1998.
In first place, results reveal the relevance of systematic risk to the estimation of equity market returns. At the same time, we find that Capital Asset Pricing Model Improves its explanation capacity when including two firm characteristics: size and equity valuation. According to our finding, shareholders expects positive return premiums in lower size and higther book-to-market equity firms.
KEY WORDS
Fundamentals; CAPM; Returns; Size; Book-to-market equity.
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