A sector strategy from the Fama and French model

Ferruz, Luis (Universidad de Zaragoza) ; Badía, Guillermo (Universidad de Zaragoza)

Resumen: In this article, we test the degree of possible interest there may be in developing an investment strategy based on the three-factor Fama and French model (1992). To this end, we construct a sectorial strategy, taking as a market risk factor the sectorial index to which the securities belong. From our results, we conclude that the aforementioned strategy is of limited use, given that no extraordinary consistent yields are obtained. From this, we conclude that the hypothesis of the efficient market can be accepted.

Idioma: Inglés

DOI: 10.1080/13504851.2015.1042137

Año: 2015

Publicado en: APPLIED ECONOMICS LETTERS 22, 18 (2015), 1511-1514
ISSN: 1350-4851

Factor impacto JCR: 0.378 (2015)

Categ. JCR: ECONOMICS rank: 280 / 341 = 0.821 (2015) - Q4 - T3

Factor impacto SCIMAGO: 0.34 - Economics and Econometrics (Q3)

Tipo y forma: Artículo (Versión definitiva)

Área (Departamento): Área Economía Finan. y Contab. (Dpto. Contabilidad y Finanzas)