000061592 001__ 61592
000061592 005__ 20221020131653.0
000061592 0247_ $$2doi$$a10.1080/13504851.2016.1192266
000061592 0248_ $$2sideral$$a97857
000061592 037__ $$aART-2017-97857
000061592 041__ $$aeng
000061592 100__ $$0(orcid)0000-0002-3816-9747$$aFerruz, L.$$uUniversidad de Zaragoza
000061592 245__ $$aAdapting and testing the Fama and French model, with some variations of company characteristics
000061592 260__ $$c2017
000061592 5060_ $$aAccess copy available to the general public$$fUnrestricted
000061592 5203_ $$aWe 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.
000061592 536__ $$9info:eu-repo/grantAgreement/ES/DGA/17030G-5423-440030-11101$$9info:eu-repo/grantAgreement/ES/DGA/17030G-5423-440030-91101
000061592 540__ $$9info:eu-repo/semantics/openAccess$$aAll rights reserved$$uhttp://www.europeana.eu/rights/rr-f/
000061592 590__ $$a0.504$$b2017
000061592 591__ $$aECONOMICS$$b298 / 353 = 0.844$$c2017$$dQ4$$eT3
000061592 592__ $$a0.327$$b2017
000061592 593__ $$aEconomics and Econometrics$$c2017$$dQ3
000061592 655_4 $$ainfo:eu-repo/semantics/article$$vinfo:eu-repo/semantics/acceptedVersion
000061592 700__ $$0(orcid)0000-0003-2795-3728$$aBadía, G.$$uUniversidad de Zaragoza
000061592 7102_ $$14002$$2230$$aUniversidad de Zaragoza$$bDpto. Contabilidad y Finanzas$$cÁrea Economía Finan. y Contab.
000061592 773__ $$g24, 5 (2017), 342-345$$pAppl. econ. lett.$$tAPPLIED ECONOMICS LETTERS$$x1350-4851
000061592 8564_ $$s374877$$uhttps://zaguan.unizar.es/record/61592/files/texto_completo.pdf$$yPostprint
000061592 8564_ $$s113632$$uhttps://zaguan.unizar.es/record/61592/files/texto_completo.jpg?subformat=icon$$xicon$$yPostprint
000061592 909CO $$ooai:zaguan.unizar.es:61592$$particulos$$pdriver
000061592 951__ $$a2022-10-20-13:05:06
000061592 980__ $$aARTICLE