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首页> 外文期刊>International Journal of Business and Management >A State-Space Version of Fama and French’s Three-Factor Model: Evidence from the Tunisian Stock Exchange
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A State-Space Version of Fama and French’s Three-Factor Model: Evidence from the Tunisian Stock Exchange

机译：Fama的状态空间版本和法国的三要素模型：来自突尼斯证券交易所的证据

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We develop a state-space version of the three-factor model of Fama and French (1993) for exploring the macroeconomic determinants of risk underlying size (SMB) and value (HML) factors. To the best of our knowledge, this is the first study that examines how loadings on HML and SMB factors are affected by unanticipated changes in macroeconomic factors and whether they exhibit an asymmetric behavior over the business cycle. We test the hypothesis that the betas associated with HML and SMB factors of firms with different size or a different BE/ME ratio react differently to changes in macroeconomic conditions. In addition to the hypothesis that some type of stocks (value and small ones) become more responsive to such a change during period of economic contraction than during an expansion. Our focus is the Tunisian stock Exchange. The evidence we found supports the time variation of portfolios returns’ sensitivities to market, HML and SMB factors with unanticipated changes in monetary and economic conditions. Hence, the assumption of constant coefficients in the traditional three-factor model seems to be unreasonable. Betas associated with HML and SMB factors showed countercyclical behavior through the phases of the business cycle. In a recession, value (small) firm’s risk associated with the HML (SMB) factor is more strongly affected by worsening credit market conditions than during an economic expansion. Further results show that value (small) firm’s risk associated with the HML (SMB) factor is more strongly affected by tighter credit market conditions than growth (large) firm’s risk. Thus, our results most closely support a risk-based explanation for SMB and HML.
机译：我们开发了Fama和French（1993）的三因素模型的状态空间版本，以探索潜在风险大小（SMB）和价值（HML）因素的宏观经济决定因素。据我们所知，这是第一项研究，它检验了宏观经济因素的意外变化如何影响HML和SMB因素的负荷，以及它们在整个商业周期中是否表现出不对称的行为。我们检验了以下假设：与具有不同规模或不同BE / ME比的公司的HML和SMB因子相关的beta对宏观经济状况的变化具有不同的反应。除了以下假​​设外，在经济收缩期间，某些种类的股票（价值股票和小型股票）对这种变化的反应要比扩张时期的反应更为敏感。我们的重点是突尼斯证券交易所。我们发现的证据支持了投资组合收益对市场，HML和SMB因素的敏感性随时间变化以及货币和经济状况的意外变化。因此，传统三因子模型中常数系数的假设似乎是不合理的。与HML和SMB因素相关的Beta在整个业务周期的各个阶段均表现出反周期行为。在经济衰退期间，信贷市场条件恶化比经济扩张期间，与HML（SMB）因素相关的价值（小型）公司的风险受到更大的影响。进一步的结果表明，信贷市场条件趋紧对价值（小型）公司与HML（SMB）因子相关的风险的影响要大于增长型（大型）公司的风险。因此，我们的结果最紧密地支持了针对SMB和HML的基于风险的解释。

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