Susana Iglesias Antelo

An analysis of the risk–return relationship in the Spanish capital market using a structural equation model

This work is a contribution to an incipient third line of empirical analysis within the context of the use of multifactor models to explain the covariation among asset returns. Such a line of research establishes a bridgehead between the one based on the selection of economic variables and that based on the extraction of factors by means of factor analysis. Specifically, this study focuses on macroeconomic magnitudes as potential sources of risk and uses a structural equation model to analyse data relative to the Spanish market. The market return is the only factor that is found to be significant.This work is a contribution to an incipient third line of empirical analysis within the context of the use of multifactor models to explain the covariation among asset returns. Such a line of research establishes a bridgehead between the one based on the selection of economic variables and that based on the extraction of factors by means of factor analysis. Specifically, this study focuses on macroeconomic magnitudes as potential sources of risk and uses a structural equation model to analyse data relative to the Spanish market. The market return is the only factor that is found to be significant.