Analysis of stock returns of main European service and tourism companies

Bibliographic Data

ID21689690
AuthorsFrancisco Jareño (0000-0001-9778-7345, University of Castilla-La Mancha), Ana Escribano (0000-0003-1416-3401, University of Castilla-La Mancha, corresponding author), M Pilar Torres (University of Castilla-La Mancha)
Year2022
Volume28
Issue5
Pages1280-1310
Publication date2022-08-01
Open AccessYes
TypeARTICLE
VenueTourism Economics (JOURNAL)
Journal identifiersISSN: 1354-8166 • E-ISSN: 2044-0375
PublisherSAGE Publications (PUBLISHER • US)
DOI10.1177/1354816621992983
OpenAlexW3132660480
LanguageEN
Citations received3
References cited33

This research explores the sensitivity of the returns of some selected European companies to changes in the explanatory factors proposed during the sample period between January 2000 and December 2019. We focus on listed companies in the tourism and services sector and estimate an extension of the Fama and French five-factor model (2015) by applying the quantile regression approach. Specifically, this study starts from the Fama and French risk factors and adds the nominal interest rates, a momentum and momentum reversal factors and a traded liquidity factor. For robustness, this research divides the whole sample period into three sub-periods: pre-crisis, crisis and post-crisis. In line with the previous literature, the explanatory power of this factor model shows a U-shape, which is compatible with the highest R 2 coefficients in the extreme quantiles, as well as in extreme stages of the economy, that is, in the bullish and bearish market states

Econometrics · Economics · Explanatory power · Financial crisis · Financial economics · Geography · Macroeconomics · Market liquidity · Monetary economics · Quantile · Quantile regression · Tourism · Financial Markets and Investment Strategies · Market Dynamics and Volatility · Stock Market Forecasting Methods

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