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Analysis of stock returns of main European service and tourism companies

Author

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  • Francisco Jareño

    (University of Castilla–La Mancha, Spain)

  • Ana Escribano

    (University of Castilla–La Mancha, Spain)

  • M Pilar Torres

    (University of Castilla–La Mancha, Spain)

Abstract

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 R 2 coefficients in the extreme quantiles, as well as in extreme stages of the economy, that is, in the bullish and bearish market states.

Suggested Citation

  • Francisco Jareño & Ana Escribano & M Pilar Torres, 2022. "Analysis of stock returns of main European service and tourism companies," Tourism Economics, , vol. 28(5), pages 1280-1310, August.
    • Handle: RePEc:sae:toueco:v:28:y:2022:i:5:p:1280-1310
    DOI: 10.1177/1354816621992983
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    References listed on IDEAS

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    Cited by:

    1. Francisco Jareño & María-Isabel Martínez-Serna & María Chicharro, 2023. "Government Bonds and COVID-19. An International Evaluation Under Different Market States," Evaluation Review, , vol. 47(3), pages 433-478, June.
    2. Yousaf, Imran & Jareño, Francisco & Martínez-Serna, María-Isabel, 2023. "Extreme spillovers between insurance tokens and insurance stocks: Evidence from the quantile connectedness approach," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).

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