Finance Research Seminar Series – Spring 2025.
Join us for this diverse and excellent lineup of speakers. All events will be in Ballentine Hall, LAN Conference Room (room 363). Any questions, email H. Zafer Yuksel.
Dr. Niki Laopodis from Roger Williams University, February 21, at 11:00 am
Fama-French Factors, Macro variables and Global Risks: Evidence from US Industry Portfolios
Abstract: This paper investigates whether global risks have statistical significance for 49 industry equity portfolios for the United States in the presence of the Fama-French factors and a set of macro variables. Baseline results indicated that some Fama-French factors appear to be significant for some industries with and without the presence of macro variables. Augmented versions of the model showed that the FF factors retained their statistical significance even with the inclusion of the geopolitical risk index. Further, additions of other global risk factors revealed that they surfaced as statistically significant under both the presence of the FF factors and the macro variables. Finally, in all regression (including panel) specifications, the stock market was always highly statistically significant implying its wide informational content under many control variables, a result not yet documented in the empirical financial literature.
Keywords: Fama-French factors, geopolitical risks, global risks, panel analysis, industry equity, portfolios
JEL classifications: G15, G39