A sector strategy from the Fama and French model

Luis Ferruz and Guillermo Bad�a

Applied Economics Letters, 2015, vol. 22, issue 18, 1511-1514

Abstract: 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.

Date: 2015
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DOI: 10.1080/13504851.2015.1042137

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