Date of Award

January 2015

Document Type

Thesis

Degree Name

Master of Science (MS)

Department

Economics & Finance

First Advisor

Cullen Goenner

Second Advisor

Daniel Biederman

Abstract

I examine industry sector returns using the Fama-French five-factor model between January 1966 and July 2015. This paper contributes to the literature by examining the Fama-French five-factor model on industry returns, where as previous literatures apply the model to the whole market or specific portfolios. My results suggest that although the Fama-French five-factor model is not a significant improvement to that of the three-factor model it is the best model of choice when examining industry returns between the CAPM and the three-factor model.

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