Date of Award
Master of Science (MS)
Economics & Finance
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.
Barvels, Dustin, "Using The Fama-French Five-Factor Model To Predict Industry Market Returns" (2015). Theses and Dissertations. 1869.