TEST OF THE FAMA-FRENCH FIVE-FACTOR MODEL ON THE CROATIAN STOCK MARKET (CROSBI ID 692186)
Prilog sa skupa u zborniku | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Dolinar Denis, Lončarević Sara, Orlović Zrinka
engleski
TEST OF THE FAMA-FRENCH FIVE-FACTOR MODEL ON THE CROATIAN STOCK MARKET
The object of this paper is the applicability of the Fama-French Five-Factor model on the emerging, Croatian stock market. This model is one of the results of research in the fields of corporate finance and investment analysis, seeking to identify common risk factors in stock returns. Using time-series regression the goal was to capture the common variation in stock returns. R^2 values and parameters (slope coefficients) were used to assess how well the model captures the common variation. The Fama- French Five-Factor model includes the following risk factors: market risk premium, size, book- to-market equity, profitability, and investment. The R^2 for the five-factor model was on average 0.54, meaning that, on average, 54% of the variation in the dependent variable is explained by the linear relationship with the independent variables in the model. The results showed that the Fama-French Five-Factor model proved to capture the most variation in stock returns in comparison to other models, but only slightly more than the three-factor model. Finally, while the Fama-French Five- Factor model and its risk factors capture approximately half of the variation in stock returns, there is still a lot of variation left unexplained by this model.
Fama-French Five-Factor model, Croatian stock market, risk-return, asset pricing model, factor models
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Podaci o prilogu
286-297.
2020.
objavljeno
Podaci o matičnoj publikaciji
Proceedings of FEB Zagreb 11th International Odyssey Conference on Economics and Business
Šimurina, Jurica ; Načinović Braje, Ivana ; Pavić, Ivana
Zagreb: Ekonomski fakultet Sveučilišta u Zagrebu
Podaci o skupu
11th International Odyssey Conference on Economics and Business
predavanje
16.06.2020-20.06.2020
online