Adapting and testing the Fama and French model, with some variations of company characteristics

Ferruz, L. (Universidad de Zaragoza) ; Badía, G. (Universidad de Zaragoza)

Resumen: We examine whether the Fama and French (1992) (F&F;) model can be adapted to become a more versatile and flexible tool, capable of incorporating variations of company characteristics in a more dynamic form. For this, the risk factors are reconstructed at the end of each reading of monthly data. We argue that, over time, the evaluation of a company may change as a result of variations in its market price, size or book price, and we are aware that the F&F; model does not accurately reflect these dynamics. Our results show that the adapted model is able to capture the behaviour of a greater number of stocks than the original F&F; model and risk factors are more significant when building them through our procedure. In addition, we carry out these adaptations during a period of instability in financial markets.

Idioma: Inglés

DOI: 10.1080/13504851.2016.1192266

Año: 2017

Publicado en: APPLIED ECONOMICS LETTERS 24, 5 (2017), 342-345
ISSN: 1350-4851

Factor impacto JCR: 0.504 (2017)

Categ. JCR: ECONOMICS rank: 298 / 353 = 0.844 (2017) - Q4 - T3

Factor impacto SCIMAGO: 0.327 - Economics and Econometrics (Q3)

Financiación: info:eu-repo/grantAgreement/ES/DGA/17030G-5423-440030-11101
Financiación: info:eu-repo/grantAgreement/ES/DGA/17030G-5423-440030-91101

Tipo y forma: Artículo (PostPrint)

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