Study of the leading European construction companies using risk factor models

Ana Escribano, Francisco Jareño and Jose Ángel Cano

International Journal of Finance & Economics, 2023, vol. 28, issue 3, 3386-3402

Abstract: This paper aims to study the potential effects of changes in international risk factors on leading European construction companies' returns. The study is conducted on a sample period between January 2000 and December 2019 and applies an extension of the Fama and French five‐factor model (2015) using the quantile regression methodology. Specifically, this research extends the Fama and French (2015) factor model by adding risk factors such as nominal interest rates, momentum and momentum reversal factors (Carhart, 1997) and the traded liquidity factor (Pastor and Stambaugh, 2003). For robustness, this study splits the entire sample period into three sub‐periods: pre‐crisis, crisis, and post‐crisis. As expected, the highest R2 coefficients are observed in the extreme quantiles, that is, in the bullish and bearish market states, revealing a U‐shaped relationship in the explanatory power of this factor model.

Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1002/ijfe.2598

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:28:y:2023:i:3:p:3386-3402

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().