There are a lot of theoretical and empirical literature of models of price formation in securities markets, based on the relationship between the expected return on assets and different measures of its risk. Using monthly returns for size-based portfolios from January 1982 to December 1998 we...

This work makes an empirical evaluation for the Spanish market data of an asset pricing model based on the proposal of Campbell (1993). Due to the log-linear approximation to the budget constrain, the author obtains a model that does not need consumption data in which the factors that tries to...

The aim of this paper consists on seeing whether the information differential affects tothe stocks return in the Spanish market. Usually the firm attention by financial analysts,expressed by de number of earnings estimations, has been used as a proxy of the differentialinformation. Nevertheless,...