The portfolio management: investigation of the Fama-French five- and six-factor asset pricing models

• Autorzy: Ben Mrad Douagi Fatma Wyeme , Chaouachi Olfa , Sow Mory

Identyfikatory

DOI

10.17512/pjms.2021.23.1.07

Warianty tytułu

PL

Zarządzanie portfelem: badanie modeli wyceny aktywów Fama-French

• Języki publikacji: EN

Abstrakty

EN

The novel contribution of this paper is to test if the Fama-French five- and six-factor models can explain the portfolio returns in the Regional Stock Exchange of Ivory Coast Securities (BRVM) between January 2007 and December 2018. For the Fama-French five-factor model, the results show that the only useful factors for describing the portfolio excess return are the market, value and profitability when the OLS and the GARCH techniques are used. For the augmented Fama French six-factor model, the results report that only the market, value, profitability and illiquidity factors played an eminent role in explaining the portfolio excess return. Moreover, using the OLS technique, it is found that the Fama-French five-factor model and the augmented Fama-French six-factor model can capture the portfolio returns. However, when the GARCH technique is used, the findings show that these models can fully explain the portfolio returns. The results found can help portfolio managers to identify extensive factors that have an impact on the equity returns and to estimate the required return on the stock. Moreover, traders can employ these factor models to control investment risk.

PL

Nowatorskim wkładem tego artykułu jest sprawdzenie, czy pięcioi sześcioczynnikowe modele Famy-French mogą wyjaśnić zwroty portfelowe na Regionalnej Giełdzie Papierów Wartościowych Wybrzeża Kości Słoniowej (BRVM) w okresie od stycznia 2007 r. do grudnia 2018 r. Dla Famy -Francuski model pięcioczynnikowy, wyniki pokazują, że jedynymi użytecznymi czynnikami do opisania nadwyżki zwrotu portfela są rynek, wartość i rentowność, gdy stosuje się techniki OLS i GARCH. W przypadku rozszerzonego sześcioczynnikowego modelu Famy French, wyniki wskazują, że tylko czynniki rynkowe, wartości, rentowności i braku płynności odegrały znaczącą rolę w wyjaśnieniu nadwyżki zwrotu z portfela. Ponadto, stosując technikę OLS, stwierdzono, że pięcioczynnikowy model Famy-Frencha i rozszerzony sześcioczynnikowy model Famy-Frencha mogą uchwycić zwroty portfela. Jednak w przypadku zastosowania techniki GARCH wyniki pokazują, że modele te mogą w pełni wyjaśnić zwroty z portfela. Osiągnięte wyniki mogą pomóc zarządzającym portfelami zidentyfikować rozległe czynniki, które mają wpływ na zwroty z akcji i oszacować wymagany zwrot z akcji. Co więcej, handlowcy mogą stosować te modele czynnikowe do kontrolowania ryzyka inwestycyjnego.

Słowa kluczowe

EN

Fama-French five-factor model; augmented Fama-French six-factor model; risk factors; OLS; GARCH

PL

pięcioczynnikowy model Famy-Frencha; rozszerzony sześcioczynnikowy model Famy-French; czynniki ryzyka; OLS; model GARCH

• Wydawca: Czestochowa University of Technology
• Czasopismo: Polish Journal of Management Studies
• Rocznik: 2021
• Tom: Vol. 23, No. 1
• Strony: 106--118
• Opis fizyczny: Bibliogr. 30 poz., tab.

Twórcy

autor

Ben Mrad Douagi Fatma Wyeme

• Department of finance and accounting, Faculty of Economic Sciences and Management, University of Tunis El Manar, Tunisia

autor

Chaouachi Olfa

• Department of finance and accounting, Faculty of Economic Sciences and Management, University of Tunis El Manar, Tunisia

autor

Sow Mory

• Department of finance and accounting, Faculty of Economic Sciences and Management, University of Tunis El Manar, Tunisia

Bibliografia

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Uwagi

Opracowanie rekordu ze środków MNiSW, umowa Nr 461252 w ramach programu "Społeczna odpowiedzialność nauki" - moduł: Popularyzacja nauki i promocja sportu (2021).