Analysis of US Sector of Services with a New Fama-French 5-Factor Model

Yang, Qi; Li, Liuling; Zhu, Qingyu; Mizrach, Bruce

doi:10.4236/am.2017.89096

Cited by 15 publications

(10 citation statements)

References 18 publications

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“…This innovative asset pricing factor model is applied in recent researches about investment allocation strategies (Angelidis -Tessaromatis 2017), the analysis of US service sector (Yang et al 2017), and testing the five-factor model for different stock markets (Harshita et al 2015;Chia et al 2016;Guo et al 2017;Fama -French 2017, among others). It should be noted that there is a shortage of papers analysing the impact of the factors proposed by FF5 on the Spanish stock market, especially at company level.…”

Section: Introduction and Literature Reviewmentioning

confidence: 99%

Interest rate sensitivity of spanish companies. An extension of the Fama-French five-factor model

et al. 2018

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This paper studies the sensitivity of share prices of Spanish companies included in the IBEX-35 to changes in different explanatory variables, such as market returns, interest rates and factors proposed by Fama and French (1993, 2015) between 2000 and 2016. In addition, for robustness, this paper analyses whether the sensitivity of stock returns is different between two periods: precrisis and recent financial crisis. The results confirm that, in general, all the considered factors are relevant. Furthermore, “market return” and “size” factors show greater explanatory power, together with the “value” factor in the crisis period. Regarding the analysis at sector level, “Oil and Energy”, “Basic Materials, Industry and Construction” and “Financial and Real Estate Services” sectors appear to be highly sensitive to changes in the risk factors included in the asset pricing factor model.

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Section: Introduction and Literature Reviewmentioning

confidence: 99%

Interest rate sensitivity of spanish companies. An extension of the Fama-French five-factor model

et al. 2018

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“…Fama and French five-factor model not only applies well to Borsa Istanbul (BIST), but also explains variations in excessive portfolio returns (Acaravci & Karaomer, 2017;Yang et al, 2017), and is able to offer a better description of emerging market equity returns (Foye, 2018). Huang (2019) confirmed that the FF five-factor model is superior to other traditional asset pricing models in explaining individual stock returns in China.…”

Section: Introductionmentioning

confidence: 76%

The effects of Fama-French five factor and momentum factor on Islamic stock portfolio excess return listed in ISSI

Munawaroh

Sunarsih

2020

JEKI

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Purpose -The purpose of this study is to examine the effect of Fama-French five-factor and momentum factor on Islamic stock portfolio excess returns listed in the Indonesia Sharia Stock Index (ISSI).Methodology -This study used return data from ISSI group, starting from January 2013 to December 2017, which are then formed into time series data with excess monthly stock portfolio. This study adapted the Fama and French (2015) methodology using 2x3 and 2x2 to form the portfolio and applied Ordinary Least Square (OLS) with monthly data frequency to test the relevance of the model to the expected stock return of 183 companies.Findings -The results showed that the risk premium, the book-tomarket ratio which is proxied by High Minus Low (HML), the investment that is proxied by Conservative Minus Aggressive (CMA), and the momentum which is proxied by Up Minus Down (UMD) has a positive effect on the excess return of the company's stock portfolio registered in Indonesia Sharia Stock Index (ISSI) during the period. While, the size and profitability variable do not affect the expected stock return. Research limitations -The results of this study provides relevant information about the relationship between risk and stock return using Fama and French five-factor model and momentum. However, future researchers can expand the scale of the research by adding research periods and using daily return research data. It is intended that the results are more representative of the actual market conditions at the moment.Originality -Researches on the factors that influence the selection of Islamic stock portfolios based on excess return using Fama-French five-factor including the momentum factor are still limited. This study contributes to the asset pricing development by investigating factors influencing performance of ISSI's portfolio excess return using fivefactor model and momentum factor.

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“…Third, a summary asset pricing test was employed whether the five-factor model returns lower intercepts than the three-factor version. Foye concluded at last that the performance of the five-factor model is better than the three-factor in Eastern Europe and Latin America, but in Asia, the results show not much difference [3] 2) The new model fits the data better than Fama-French (2015)'s 5-factor model [4]. The outbreak of the new crown has had a huge impact on the U.S. investment market.…”

Section: Related Researchmentioning

confidence: 95%

“…After that, many new factor models are also developed. Many empirical results show Fama-French five-factor model is capable of explaining the stock returns better than the CAPM [1]. Hence, applying the Fama-French fivefactor model is helpful to figure out the factors that determine the return rate of a specific stock or sector.…”

Section: Introductionmentioning

confidence: 99%

Analysis of U.S. Sector of Services with Fama-French 5-Factor Model During the Covid-19

Yu¹,

Li²,

Zhao³

et al. 2021

Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)

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is the most widespread and devastating pandemic since the 20th century, which profoundly impacted the industries and the stock market, especially the service-related industries and stocks in the U.S. This paper aims to study the epidemic's impact on service-related industries in the U.S. and provide some quantitative indicators for investors to help them make investment decisions. Fama-French 5-Factor Model is adopted in this study to evaluate the factors that affect the stock price of the U.S. service sector, including Utilities, Communication, Personal Services, and Business Services. The data used for the analysis mainly comes from Kenneth R. French Data Library, which are the statistics of 5 factors and the daily return rate of the U.S. service sector from May 2019 to December 2020. Multiple Regression is adopted in this study to fit the model. The service-related industries' unique nature makes it the object of impacts caused by COVID-19. Using the Fama-French five-factor model, t-statistics is adopted to determine the significance of the five factors. The results indicate that the Mkt-Rf factor is always significant, representing the portfolio's risk premium. The HML factor of business service becomes significant after the epidemic when other service areas act oppositely to reduce the demands and business activities. In addition, due to the large market capitalization and scale effect of the Utility sector, the SMB factor maintains except Utility services turn out to be insignificant after the epidemic. Since most personal and business services depend on timely contact and many companies cannot follow this tendency, the RMW factor of Personal service and business service becomes significant after the epidemic when other two industries maintain. Also, the CMA factor acts in the same pattern as the RMW factor.

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Analysis of US Sector of Services with a New Fama-French 5-Factor Model

Cited by 15 publications

References 18 publications

Interest rate sensitivity of spanish companies. An extension of the Fama-French five-factor model

Interest rate sensitivity of spanish companies. An extension of the Fama-French five-factor model

The effects of Fama-French five factor and momentum factor on Islamic stock portfolio excess return listed in ISSI

Analysis of U.S. Sector of Services with Fama-French 5-Factor Model During the Covid-19

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