Analysis of stock returns of main European service and tourism companies

Francisco Jareño, Ana Escribano and M Pilar Torres
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Francisco Jareño: University of Castilla–La Mancha, Spain
Ana Escribano: University of Castilla–La Mancha, Spain
M Pilar Torres: University of Castilla–La Mancha, Spain

Tourism Economics, 2022, vol. 28, issue 5, 1280-1310

Abstract: This research explores the sensitivity of the returns of some selected European companies to changes in the explanatory factors proposed during the sample period between January 2000 and December 2019. We focus on listed companies in the tourism and services sector and estimate an extension of the Fama and French five-factor model (2015) by applying the quantile regression approach. Specifically, this study starts from the Fama and French risk factors and adds the nominal interest rates, a momentum and momentum reversal factors and a traded liquidity factor. For robustness, this research divides the whole sample period into three sub-periods: pre-crisis, crisis and post-crisis. In line with the previous literature, the explanatory power of this factor model shows a U-shape, which is compatible with the highest R 2 coefficients in the extreme quantiles, as well as in extreme stages of the economy, that is, in the bullish and bearish market states.

Keywords: Europe; interest rates; quantile regression; risk factors; stock returns; tourism (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:toueco:v:28:y:2022:i:5:p:1280-1310

DOI: 10.1177/1354816621992983

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