IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v22y2015i18p1511-1514.html
   My bibliography  Save this article

A sector strategy from the Fama and French model

Author

Listed:
  • Luis Ferruz
  • Guillermo Bad�a

Abstract

In this article, we test the degree of possible interest there may be in developing an investment strategy based on the three-factor Fama and French model (1992). To this end, we construct a sectorial strategy, taking as a market risk factor the sectorial index to which the securities belong. From our results, we conclude that the aforementioned strategy is of limited use, given that no extraordinary consistent yields are obtained. From this, we conclude that the hypothesis of the efficient market can be accepted.

Suggested Citation

  • Luis Ferruz & Guillermo Bad�a, 2015. "A sector strategy from the Fama and French model," Applied Economics Letters, Taylor & Francis Journals, vol. 22(18), pages 1511-1514, December.
    • Handle: RePEc:taf:apeclt:v:22:y:2015:i:18:p:1511-1514
    DOI: 10.1080/13504851.2015.1042137
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2015.1042137
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504851.2015.1042137?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:22:y:2015:i:18:p:1511-1514. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.