The relationship of equity risk factors and the business cycle
| dc.contributor.advisor | Γεωργακέλλος, Δημήτριος | |
| dc.contributor.author | Μυλωνά, Πηνελόπη | |
| dc.date.accessioned | 2019-11-26T07:59:41Z | |
| dc.date.available | 2019-11-26T07:59:41Z | |
| dc.date.issued | 2019-11 | |
| dc.identifier.uri | https://dione.lib.unipi.gr/xmlui/handle/unipi/12388 | |
| dc.format.extent | 42 | el |
| dc.language.iso | en | el |
| dc.publisher | Πανεπιστήμιο Πειραιώς | el |
| dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές | * |
| dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές | * |
| dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές | * |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
| dc.title | The relationship of equity risk factors and the business cycle | el |
| dc.type | Master Thesis | el |
| dc.contributor.department | Σχολή Οικονομικών, Επιχειρηματικών και Διεθνών Σπουδών. Τμήμα Οργάνωσης και Διοίκησης Επιχειρήσεων | el |
| dc.description.abstractEN | The scope of the present study is to examine the validity of the five factor model of Fama and French for the case of the United States of America for the period 1966 - 2017. As Gross Domestic Product (GDP) growth presents many fluctuations through the years, which were split to sub-periods based on significant economic milestones like oil crisis, financial crisis and currency change in Europe, in accordance with the business cycle too. The regressions that were conducted were not only based on the five factor model of Fama and French, but also on their three factor model. One and two factor regressions have been also reviewed. The risk factors of the five factor model of Fama and French are related to the value (HML), size (SMB), profitability (RMW) and investment (CMA). The fifth factor is the market risk premium. The results are, as expected, affected by changes in the general economic environment. There are a couple of common observations for all years. However, the rest of the factors present extreme pattern when significant changes in the economic environment are observed. All above mentioned fluctuations and outcomes can be explained by the business cycle. The business cycle describes the rise and fall in production output of goods and services in an economy. Business cycles are generally measured using the rise and fall in the real gross domestic product (GDP). The conclusion is that the changes of the general economic environment significantly affect the ability of the model to predict sufficiently GDP growth. However, there are common patterns related to this. In addition, based on the regressions, the five factor model of Fama and French gives a more representative overview of the risk factors that may be used to predict GDP, than the rest of the models. | el |
| dc.contributor.master | Πρόγραμμα Μεταπτυχιακών Σπουδών στη Διοίκηση Επιχειρήσεων για Στελέχη (Executive MBA) | el |
| dc.subject.keyword | Fama French factors | el |
| dc.subject.keyword | GDP growth | el |
| dc.subject.keyword | Business cycles | el |
| dc.date.defense | 2019-11-13 |
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Τμήμα Οργάνωσης και Διοίκησης Επιχειρήσεων
Department of Business Administration
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές