The fama and french six-factor model : evidence for the german market
Autor(a) principal: | |
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Data de Publicação: | 2021 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/36816 |
Resumo: | The Fama and French models have influenced the research around multi-factor asset pricing in the past decades as no other approach (Fama and French 1993; 2015; 2018). In search of patterns and bias that tend to explain stock performances, investors and financial theorists continuously investigate the three-, five-, and recent six-factor models and their individual factors in different markets. In their well-known papers, Fama and French developed the models over various years based on data for the US market starting in July 1963. Almost simultaneously with the enhancement evolved also more research regarding the models’ applicability and robustness in other markets outside the US. However, even though insights about the international evidence of the models increased, significant research on the German market is still rare. The present work analyzes the explanatory power of the Fama and French Six-Factor Model (FF6) on average stock returns in Germany. Data is collected from Thomson Reuters Datastream and Worldscope for the time between July 1982 and June 2021 and I create factor portfolios according to the criteria defined by Fama and French. The evaluation shows a tendency for superior performance of the Fama and French Six-Factor Model over the previous three- and five-factor models. While big stocks seem to perform better than small stocks, there is indication for value and momentum premiums in the German market. Nevertheless, the results reveal only weak evidence for the explanatory power of the Fama and French Six-Factor Model on average stock returns in Germany. |
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The fama and french six-factor model : evidence for the german marketAsset pricingFama and frenchSix-factor modelStock portfoliosGermanyPrecificação de ativosFama e frenchModelo de seis fatoresPortfólios de açõesAlemanhaDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe Fama and French models have influenced the research around multi-factor asset pricing in the past decades as no other approach (Fama and French 1993; 2015; 2018). In search of patterns and bias that tend to explain stock performances, investors and financial theorists continuously investigate the three-, five-, and recent six-factor models and their individual factors in different markets. In their well-known papers, Fama and French developed the models over various years based on data for the US market starting in July 1963. Almost simultaneously with the enhancement evolved also more research regarding the models’ applicability and robustness in other markets outside the US. However, even though insights about the international evidence of the models increased, significant research on the German market is still rare. The present work analyzes the explanatory power of the Fama and French Six-Factor Model (FF6) on average stock returns in Germany. Data is collected from Thomson Reuters Datastream and Worldscope for the time between July 1982 and June 2021 and I create factor portfolios according to the criteria defined by Fama and French. The evaluation shows a tendency for superior performance of the Fama and French Six-Factor Model over the previous three- and five-factor models. While big stocks seem to perform better than small stocks, there is indication for value and momentum premiums in the German market. Nevertheless, the results reveal only weak evidence for the explanatory power of the Fama and French Six-Factor Model on average stock returns in Germany.Nas últimas décadas, os modelos de Fama e French têm influenciado a investigação sobre a precificação de ativos como nenhuma outra abordagem (Fama e French 1993; 2015; 2018). Na procura de padrões que tendem a explicar o desempenho de ações, investidores e teóricos financeiros investigam continuamente estes modelos de três, cinco, e seis fatores e os seus fatores individuais em diferentes mercados. Nos seus artigos, Fama e French desenvolveram os modelos durante vários anos baseado em dados com início em julho de 1963 do mercado dos EUA. Além das melhorias, foram desenvolvidos estudos sobre a validade e robustez dos modelos em outros mercados. No entanto, mesmo com o aumento do conhecimento sobre a evidência internacional dos mo-delos, uma investigação substancial sobre o mercado alemão ainda não foi feita. O presente trabalho analisa o poder explicativo do Modelo de Seis Fatores de Fama-French (FF6) no retorno médio de ações na Alemanha. Consequentemente, recolho os dados da Thomson Reuters Datastream e Worldscope para o período entre julho de 1982 e junho de 2021 e desenvolvo os portfólios de fatores respeitando os critérios definidos por Fama e French. A avaliação mostra uma tendência de desempenho superior do FF6 relativamente aos mo-delos anteriores, de três e cinco fatores. Enquanto grandes ações parecem gerar melhores resultados que pequenas ações, há indícios de retornos significativos para a estratégia de valor e a de momentum no mercado alemão. Entretanto, os resultados revelam pouca evidência de que o FF6 consiga explicar os retornos médios de ações na Alemanha.Barroso, Pedro Monteiro e SilvaVeritati - Repositório Institucional da Universidade Católica PortuguesaNovak, Daniel Georg2022-02-24T12:54:24Z2022-02-022021-112022-02-02T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/36816TID:202946215enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-12T17:42:16Zoai:repositorio.ucp.pt:10400.14/36816Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:29:55.920017Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The fama and french six-factor model : evidence for the german market |
title |
The fama and french six-factor model : evidence for the german market |
spellingShingle |
The fama and french six-factor model : evidence for the german market Novak, Daniel Georg Asset pricing Fama and french Six-factor model Stock portfolios Germany Precificação de ativos Fama e french Modelo de seis fatores Portfólios de ações Alemanha Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
The fama and french six-factor model : evidence for the german market |
title_full |
The fama and french six-factor model : evidence for the german market |
title_fullStr |
The fama and french six-factor model : evidence for the german market |
title_full_unstemmed |
The fama and french six-factor model : evidence for the german market |
title_sort |
The fama and french six-factor model : evidence for the german market |
author |
Novak, Daniel Georg |
author_facet |
Novak, Daniel Georg |
author_role |
author |
dc.contributor.none.fl_str_mv |
Barroso, Pedro Monteiro e Silva Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Novak, Daniel Georg |
dc.subject.por.fl_str_mv |
Asset pricing Fama and french Six-factor model Stock portfolios Germany Precificação de ativos Fama e french Modelo de seis fatores Portfólios de ações Alemanha Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Asset pricing Fama and french Six-factor model Stock portfolios Germany Precificação de ativos Fama e french Modelo de seis fatores Portfólios de ações Alemanha Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
The Fama and French models have influenced the research around multi-factor asset pricing in the past decades as no other approach (Fama and French 1993; 2015; 2018). In search of patterns and bias that tend to explain stock performances, investors and financial theorists continuously investigate the three-, five-, and recent six-factor models and their individual factors in different markets. In their well-known papers, Fama and French developed the models over various years based on data for the US market starting in July 1963. Almost simultaneously with the enhancement evolved also more research regarding the models’ applicability and robustness in other markets outside the US. However, even though insights about the international evidence of the models increased, significant research on the German market is still rare. The present work analyzes the explanatory power of the Fama and French Six-Factor Model (FF6) on average stock returns in Germany. Data is collected from Thomson Reuters Datastream and Worldscope for the time between July 1982 and June 2021 and I create factor portfolios according to the criteria defined by Fama and French. The evaluation shows a tendency for superior performance of the Fama and French Six-Factor Model over the previous three- and five-factor models. While big stocks seem to perform better than small stocks, there is indication for value and momentum premiums in the German market. Nevertheless, the results reveal only weak evidence for the explanatory power of the Fama and French Six-Factor Model on average stock returns in Germany. |
publishDate |
2021 |
dc.date.none.fl_str_mv |
2021-11 2022-02-24T12:54:24Z 2022-02-02 2022-02-02T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.14/36816 TID:202946215 |
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http://hdl.handle.net/10400.14/36816 |
identifier_str_mv |
TID:202946215 |
dc.language.iso.fl_str_mv |
eng |
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eng |
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info:eu-repo/semantics/openAccess |
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openAccess |
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application/pdf |
dc.source.none.fl_str_mv |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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