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

1. André García, Francisco J.
2. Nuño Sevilla, Luis Enrique
3. Peréz García, Javier José

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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.

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