scholarly journals Fama-French Five-Factor Model Analysis on Valuation of Bank Stock Returns

2018 ◽  
Author(s):  
Syarief Fauzie ◽  
Ranika Elizabeth Siagian
Keyword(s):  
Stock Returns ◽  
Factor Model ◽  
Five Factor Model ◽  
Model Analysis ◽  
Bank Stock Returns ◽  
Bank Stock

scholarly journals Choosing Factors for the Vietnamese Stock Market

2021 ◽  
Vol 14 (3) ◽  
pp. 96
Author(s):  
Nina Ryan ◽  
Xinfeng Ruan ◽  
Jin E. Zhang ◽  
Jing A. Zhang
Keyword(s):  
Stock Returns ◽  
Factor Model ◽  
Five Factor Model ◽  
Explanatory Power ◽  
Factor Models ◽  
Marginal Contribution ◽  
Return On Equity ◽  
Factor Modeling ◽  
Three Factor ◽  
Better Than

In this paper, we test the applicability of different Fama–French (FF) factor models in Vietnam, we investigate the value factor redundancy and examine the choice of the profitability factor. Our empirical evidence shows that the FF five-factor model has more explanatory power than the FF three-factor model. The value factor remains important after the inclusion of profitability and investment factors. Operating profitability performs better than cash and return-on-equity (ROE) profitability as a proxy for the profitability factor in FF factor modeling. The value factor and operating profitability have the biggest marginal contribution to a maximum squared Sharpe ratio for the five-factor model factors, highlighting the value factor (HML) non-redundancy in describing stock returns in Vietnam.

Does Change in Ted Spread Impact Bank Stock Returns?

2021 ◽  
pp. jwm.2021.1.151
Author(s):  
Srinivas Nippani ◽  
Augustine C. Arize ◽  
D. K. Malhotra
Keyword(s):  
Stock Returns ◽  
Bank Stock Returns ◽  
Bank Stock

Market efficiency, the Mexican peso crisis, and the US bank stock returns

2000 ◽  
Vol 11 (1-2) ◽  
pp. 73-86 ◽  
Author(s):  
Osman Kilic ◽  
M.Kabir Hassan ◽  
David Tufte
Keyword(s):  
Market Efficiency ◽  
Stock Returns ◽  
The Us ◽  
Bank Stock Returns ◽  
Bank Stock ◽  
Mexican Peso

scholarly journals Interest rate sensitivity of spanish companies. An extension of the Fama-French five-factor model

2018 ◽  
Vol 68 (4) ◽  
pp. 617-638 ◽  
Author(s):  
Francisco Jareño ◽  
María de la O González ◽  
Marta Tolentino ◽  
Sara Rodríguez
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Factor Model ◽  
Five Factor Model ◽  
Explanatory Power ◽  
Rate Sensitivity ◽  
Share Prices ◽  
Explanatory Variables ◽  
Fama And French ◽  
Recent Financial Crisis

This paper studies the sensitivity of share prices of Spanish companies included in the IBEX-35 to changes in different explanatory variables, such as market returns, interest rates and factors proposed by Fama and French (1993, 2015) between 2000 and 2016. In addition, for robustness, this paper analyses whether the sensitivity of stock returns is different between two periods: precrisis and recent financial crisis. The results confirm that, in general, all the considered factors are relevant. Furthermore, “market return” and “size” factors show greater explanatory power, together with the “value” factor in the crisis period. Regarding the analysis at sector level, “Oil and Energy”, “Basic Materials, Industry and Construction” and “Financial and Real Estate Services” sectors appear to be highly sensitive to changes in the risk factors included in the asset pricing factor model.

ESG Scores and Bank Performance During COVID-19

2022 ◽  
pp. 241-260
Author(s):  
Gamze Ozturk Danisman
Keyword(s):  
Stock Returns ◽  
Extended Period ◽  
Negative Influence ◽  
Policy Implications ◽  
European Countries ◽  
Time Period ◽  
Bank Stock Returns ◽  
Bank Stock ◽  
The Impact ◽  
Extended Time Period

This chapter examines the impact of ESG scores on bank stock returns as a response to the COVID-19 pandemic. The authors use a sample of 73 publicly listed banks from 15 developed European countries. They perform the analysis using two different periods that cover the pandemic: the first major wave period of COVID-19 (February-April 2020) and an extended period (February 2020-April 2021). The findings reveal the negative influence of the COVID-19 pandemic on bank stock returns during the first wave of the pandemic. They further find that, during the first wave, stock returns of banks with higher ESG scores were more resilient to the pandemic. However, when they use the extended time period (from February 2020-April 2021), the influence of both COVID-19 and ESG scores becomes insignificant. The chapter's findings have important policy implications during unprecedented crisis times such as COVID-19.

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