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Contribution Details
Type | Bachelor's Thesis |
Scope | Discipline-based scholarship |
Title | Industry clustering in factor models for stocks |
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Institution | University of Zurich |
Faculty | Faculty of Business, Economics and Informatics |
Number of Pages | 40 |
Date | 2022 |
Abstract Text | Many studies exist that have created asset pricing models to explain returns. The impact of industry clustering on factor models has not been explored. By forming Fama and French’s three-factor model, it was found that few industries accounted for over 50% of the observations. Moreover, a few of the 48 industries possessed a positive average return over the sampling period of 366 months between 1963 and 1993. The effect of the average returns of the most represented industries on the explanatory returns of the model could not be accurately captured. |
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