Extensions of Fama and French Models

María de la O González () and Francisco Jareño ()
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María de la O González: University of Castilla-La Mancha
Francisco Jareño: University of Castilla-La Mancha

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2018, pp 403-405 from Springer

Abstract: Abstract This short paper proposes extensions of Fama and French models and compares their explanatory power. In concrete, it tests fluctuations in US sector returns between November 1989 and February 2014. In addition, this paper estimates the models using the quantile regression approach. In short, the most complete model shows the highest explanatory power and the extreme quantiles (tau = 0.1) show the best results.

Keywords: Risk factors; Interest rates; Stock returns (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-89824-7_72

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DOI: 10.1007/978-3-319-89824-7_72

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