We investigate whether the returns of industry portfolios in Japan predict Fama and French's well-known smallminus- big (SMB) and high-minus-low (HML) factor returns. In Japan, a significant number of industry returns, such as from glass and ceramics products, iron and steel, machinery, ...
doi:10.1080/14697681003762271Chikashi TsujiRoutledgeQuantitative FinanceTsuji, C. (2012b). Do industries contain predictive information for the Fama-French factors? Quantitative Finance, 12, 969-991. http://dx.doi.org/10.1080/14697681003762271
company's main business is divided into 18 industries sector. Under the two classification methods, this paper uses Fama-French five-factor model for regression respectively to verify the applicability of the model in China's A-share market and the explanatory power of each ...
The inability of this model to price these industries too may be due to the uncertainty about risk factors, as indicated in previous studies of the industry cost of capital (see, for example, Fama and French, 1997; Ferson and Locke, 1998; and Pastor and Stambaugh, 1999). This is ...
REIT CAPM Fama-French model Turkish REITs Borsa Istanbul JEL codes R30 G12 G17 1. Introduction In recent years, the link between real estate and finance has received increasing attention in the property literature, due to the growing importance of property as a significant asset class in direct...
The typical Fama and French results are not obtained. At best, the results are mixed. They show that Nepalese capital market provides excess return for big value-stocks and lower excess return for small growth-stocks. It is possible that this result is attributable to the biases in the ...
ENERGY industriesPANEL analysisENERGY shortagesECONOMIC statisticsThis study empirically analyzes return data from select energy companies in developed and emerging markets using the Fama-French three- and five-factor asset-pricing models in crisis settings. It researches whether these models are suitable ...
Figure 2. Adjusted R2 values of the Fama–French regression analysis per industry per period. As can be seen, the explanatory power of the model in explaining average industry returns increased in almost all industries upon the onset of the pandemic. An analysis of the standard errors across ...
Figure 2. Adjusted R2 values of the Fama–French regression analysis per industry per period. As can be seen, the explanatory power of the model in explaining average industry returns increased in almost all industries upon the onset of the pandemic. An analysis of the standard errors across ...