Comparative Analysis of Risk-Return using the Fama-French Three-Factor Model
Palabras clave:
Fama-French three-factor model, expected returns, cost of capital, corporate finance
Resumen
The article analyzes investment evaluation and cost of capital assessment techniques, emphasizing that the Fama-French Three-Factor Model provides a more accurate estimate than the traditional CAPM. The study applied this methodology to two companies in the entertainment sector listed on the New York Stock Exchange: Walt Disney Company and United Parks & Resorts, during the period 2013-2024.The results of the multiple regressions showed that United Parks & Resorts had a better statistical fit with an R² of 22.10%, compared to 14.78% for Disney, indicating greater predictive power. The annual cost of capital was 153% for Disney and 137% for United Parks & Resorts, reflecting different risk-return profiles. The analysis revealed that United Parks is more sensitive to factors such as company size and stock value, while Disney is more resistant to these systematic risks. The authors conclude that the Fama-French model offers more reliable information for investment decisions by incorporating multiple economic factors, allowing investors to select companies based on their risk tolerance.
Citas
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Alkikabi, N. S. (2022). The profitability index and its impact on sustainable development decisions. International Journal of Economics and Financial Management, 5(10), 2897–2906. https://doi.org/10.47191/jefms/v5-i10-10
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Chan, L. K., Hamao, Y., & Lakonishok, J. (1991). Fundamentals and stock returns in Japan. Journal of Finance, 46(5), 1739–1764. https://doi.org/10.1111/j.1540-6261.1991.tb04642.x
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Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56. https://doi.org/10.1016/0304-405X(93)90023-5
Fama, E. F., & French, K. R. (1998). Value versus growth: The international evidence. Journal of Finance, 53(6), 1975–1999. https://doi.org/10.1111/0022-1082.00080
Fama, E. F., & French, K. R. (2004). The Capital Asset Pricing Model: Theory and Evidence. Journal of Economic Perspectives, 18(3), 25–46. https://doi.org/10.1257/0895330042162430
Fama, E. F., & French, K. R. (2015a). Dissecting anomalies with a five-factor model. The Review of Financial Studies, 29(1), 69–103. https://doi.org/10.1093/rfs/hhv043
Fama, E. F., & French, K. R. (2015b). A five-factor asset pricing model. Journal of Financial Economics, 116, 1–22. https://doi.org/10.1016/j.jfineco.2014.10.010
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Liew, J. M., & Vassalou, M. (2000). Can book-to market, size and momentum be risk factors that predict economic growth? Journal of Financial Economics, 57(2), 221–245. https://doi.org/10.1016/S0304-405X(00)00056-8
Lintner, J. (1965). The valuation of Risks Assets and the Selection of Risky Investments in Stocks Portfolios and Capital Budgets. The Review of Economics and Statistics, 47(1), 13–37. https://doi.org/10.1016/B978-0-12-780850-5.50018-6
Michalis, E., Giatra, C. E., Skordos, D., & Ragkos, A. (2023). Assessing the Different Economic Feasibility Scenarios of a Hidroponic Tomato Greenhouse Farm: A Case Study from Western Greece. Sustainability (Switzerland), 15(19), 14233. https://doi.org/10.3390/su151914233
Mohsen Shham, A., & Bouri, A. (2023). The impact of the net present value and adjusted present value on investment decisions: A guide from foreign companies investing in the Iraqi environment. Revista Iberoamericana de Psicología Del Ejercicio y El Deporte, 18(5), 587–591. https://doi.org/10.15587/1729-4061.2023.286212
Owale, F., Olumuyiwa, O., & George, H. (2010). An investigation into the impact of investment appraisal techniques on the profitability of small manufacturing firms in the Nelson Mandela Bay Metropolitan Area, South Africa. African Journal of Business Management, 4(7), 1274–1280. https://www.internationalscholarsjournals.com/articles/an-investigation-into-the-impact-of-investment-appraisal-techniques-on-the-profitability-of-small-manufacturing-firms-in.pdf
Pitts, M., & Boyns, T. (2011). Accounting and economic returns in British coal mining: The Carlton Main colliery, 1872-1909. Business History, 53(6), 917–938. https://doi.org/10.1080/00076791.2011.582578
Rosenberg, B., Reid, K., & Lanstein, R. (1985). Persuasive evidence of market inefficiency. Journal of Portfolio Management, 11(3), 9–17. http://dx.doi.org/10.3905/jpm.1985.409007
Sharpe, W. F. (1964). Capital assets prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425–442. https://doi.org/10.2307/2977928
Siziba, S., & Hall, J. (2021). La evolución de la aplicación de técnicas de presupuestación de capital en las empresas. Global Finance Journal, 47, 100504. https://doi.org/10.1016/j.gfj.2019.100504
Spinks, L. (2005). Understanding the Iraqi National Development Strategy.
Van Horne, J. C. (1998). Financial management and policy. Prentice-Hall, Inc.
Vasconcelos, J. (2014). Equity valuation dissertation: The Walt Disney Company [Tesis de maestría, Universidade Católica Portuguesa. Repositorio UCP]. https://repositorio.ucp.pt/entities/publication/32778f4a-32ab-450c-9b87-3e124264f2d8
Watson, D., & Antony, H. (1998). Corporate finance: Principles and practice (1st ed.). Financial Times.
Yahoo Finance. (2025). Información estadística del precio y valor de mercado (DIS). https://finance.yahoo.com/quote/DIS/key-statistics/
Alkikabi, N. S. (2022). The profitability index and its impact on sustainable development decisions. International Journal of Economics and Financial Management, 5(10), 2897–2906. https://doi.org/10.47191/jefms/v5-i10-10
Atrill, P. (2000). Financial management for non-specialists (2nd ed.). Financial Times Inc.
Barbaz, D. S., & AL-Hivali, A. D. K. (2020). Financial Evaluation of some agricultural initiative projects in IRAQ. Iraqi Journal of Agricultural Sciences, 51(6), 1623–1633. https://jcoagri.uobaghdad.edu.iq/index.php/intro/article/view/1035
Berk, J., & DeMarzo, P. (2020). Corporate finance (5th ed.). Pearson.
Bodie, Z., Kane, A., & Marcus, A. J. (2024). Investments (13th ed.). McGraw-Hill Education.
Brooks, C. (2019). Introductory econometrics for finance (4th ed.). Cambridge University Press.
Chan, L. K., Hamao, Y., & Lakonishok, J. (1991). Fundamentals and stock returns in Japan. Journal of Finance, 46(5), 1739–1764. https://doi.org/10.1111/j.1540-6261.1991.tb04642.x
Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. Journal of Finance, 47(2), 427–465. https://doi.org/10.1111/j.1540-6261.1992.tb04398.x
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56. https://doi.org/10.1016/0304-405X(93)90023-5
Fama, E. F., & French, K. R. (1998). Value versus growth: The international evidence. Journal of Finance, 53(6), 1975–1999. https://doi.org/10.1111/0022-1082.00080
Fama, E. F., & French, K. R. (2004). The Capital Asset Pricing Model: Theory and Evidence. Journal of Economic Perspectives, 18(3), 25–46. https://doi.org/10.1257/0895330042162430
Fama, E. F., & French, K. R. (2015a). Dissecting anomalies with a five-factor model. The Review of Financial Studies, 29(1), 69–103. https://doi.org/10.1093/rfs/hhv043
Fama, E. F., & French, K. R. (2015b). A five-factor asset pricing model. Journal of Financial Economics, 116, 1–22. https://doi.org/10.1016/j.jfineco.2014.10.010
Gaudenzi, B., Zsidin, G. A., & Pellegrino, R. (2020). Measuring the financial effects of mitigating commodity price volatility in supply chains. Supply Chain Management: An International Journal, 26(1), 17–31. https://doi.org/10.1108/SCM-02-2020-0047
Hernández, R., Fernández, C., & Baptista, P. (2018). Metodología de la investigación (8th ed.). McGraw-Hill.
Jimbo-Sotomayor, R., Watts, E., Armijos, L., Sriudomporn, S., Sánchez, X., Echeverria, A., Armas, G., Salgado, H., Espín, M., & Patenaude, B. (2022). Return on Investment of 10-Valent Pneumococcal Conjugate Vaccine in Ecuador From 2010 to 2030. Value in Health Regional Issues, 31, 148–154. https://doi.org/10.1016/j.vhri.2022.05.003
Liew, J. M., & Vassalou, M. (2000). Can book-to market, size and momentum be risk factors that predict economic growth? Journal of Financial Economics, 57(2), 221–245. https://doi.org/10.1016/S0304-405X(00)00056-8
Lintner, J. (1965). The valuation of Risks Assets and the Selection of Risky Investments in Stocks Portfolios and Capital Budgets. The Review of Economics and Statistics, 47(1), 13–37. https://doi.org/10.1016/B978-0-12-780850-5.50018-6
Michalis, E., Giatra, C. E., Skordos, D., & Ragkos, A. (2023). Assessing the Different Economic Feasibility Scenarios of a Hidroponic Tomato Greenhouse Farm: A Case Study from Western Greece. Sustainability (Switzerland), 15(19), 14233. https://doi.org/10.3390/su151914233
Mohsen Shham, A., & Bouri, A. (2023). The impact of the net present value and adjusted present value on investment decisions: A guide from foreign companies investing in the Iraqi environment. Revista Iberoamericana de Psicología Del Ejercicio y El Deporte, 18(5), 587–591. https://doi.org/10.15587/1729-4061.2023.286212
Owale, F., Olumuyiwa, O., & George, H. (2010). An investigation into the impact of investment appraisal techniques on the profitability of small manufacturing firms in the Nelson Mandela Bay Metropolitan Area, South Africa. African Journal of Business Management, 4(7), 1274–1280. https://www.internationalscholarsjournals.com/articles/an-investigation-into-the-impact-of-investment-appraisal-techniques-on-the-profitability-of-small-manufacturing-firms-in.pdf
Pitts, M., & Boyns, T. (2011). Accounting and economic returns in British coal mining: The Carlton Main colliery, 1872-1909. Business History, 53(6), 917–938. https://doi.org/10.1080/00076791.2011.582578
Rosenberg, B., Reid, K., & Lanstein, R. (1985). Persuasive evidence of market inefficiency. Journal of Portfolio Management, 11(3), 9–17. http://dx.doi.org/10.3905/jpm.1985.409007
Sharpe, W. F. (1964). Capital assets prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425–442. https://doi.org/10.2307/2977928
Siziba, S., & Hall, J. (2021). La evolución de la aplicación de técnicas de presupuestación de capital en las empresas. Global Finance Journal, 47, 100504. https://doi.org/10.1016/j.gfj.2019.100504
Spinks, L. (2005). Understanding the Iraqi National Development Strategy.
Van Horne, J. C. (1998). Financial management and policy. Prentice-Hall, Inc.
Vasconcelos, J. (2014). Equity valuation dissertation: The Walt Disney Company [Tesis de maestría, Universidade Católica Portuguesa. Repositorio UCP]. https://repositorio.ucp.pt/entities/publication/32778f4a-32ab-450c-9b87-3e124264f2d8
Watson, D., & Antony, H. (1998). Corporate finance: Principles and practice (1st ed.). Financial Times.
Yahoo Finance. (2025). Información estadística del precio y valor de mercado (DIS). https://finance.yahoo.com/quote/DIS/key-statistics/
Publicado
2026-01-02
Cómo citar
San Andrés Reyes, P. R., Villena Izurieta, N. P., Saltos Zúñiga, P. E., & Paredes Chévez, I. E. (2026). Comparative Analysis of Risk-Return using the Fama-French Three-Factor Model. Revista Venezolana De Gerencia, 31(113), e3111323. https://doi.org/10.52080/rvgluz.31.113.23
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