Carlota Menendez, PH.D, Diego Prior, ph.D, and Neus Orgaz, PH.D. Economia de la empresa, Universidad Autónoma de Barcelona, Edificio B, Bellaterra, 08193, Spain
An empirical study has been carried out into the relationship that exists between stock market beta and all of the published accounting information incorporating productivity indices and macroeconomic information. Regression analysis with panel data is applied to analyse a sample of 69 Spanish capital market firms between 1992 and 2004. The results show that there is a certain connection between the (41) independent variables and the (4) dependent variables but that this is different depending on the market portfolio used and depending on the sample analysed. For the overall sample, the best model was obtained when the market beta was estimated from the index that contains the greatest number of shares, the IGBM (Madrid Stock Exchange General Index). Macroeconomic indicators and indicators of productivity are also significant explicative variables of the systematic risk of the Spanish market.