Analysis of stock returns of main European service and tourism companies
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 F...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2022 |
| País: | España |
| Institución: | Universidad de Castilla-La Mancha |
| Repositorio: | RUIdeRA. Repositorio Institucional de la UCLM |
| OAI Identifier: | oai:ruidera.uclm.es:10578/45503 |
| Acceso en línea: | https://doi.org/10.1177/1354816621992983 https://hdl.handle.net/10578/45503 |
| Access Level: | acceso abierto |
| Palabra clave: | Europe Interest rates Quantile regression Risk factors Stock returns |
| Sumario: | 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 R2 coefficients in the extreme quantiles, as well as in extreme stages of the economy, that is, in the bullish and bearish market states. |
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