A 5-factor risk model for european stocks
Tutor / Supervisor
Rosu, Ioanid
Student
Amézola Berenguer, Luis
Document type
Master thesis
Date
2017
rights
Open Access
Publisher
HEC París
UPCommons
Abstract
The objective of this master thesis is to calculate a five-risk factor model for the European stock market by replicating Fama and French (2015). Consistent with Fama and French (2015) results, this research shows that value, profitability and investment risk factors play an important role in assessing the expected return of an asset. These results shed light on the relation between the risk factors in North America and the risk factors in Europe.
Participating teacher
- Rosu, Ioanid