Fama–French Factors, Macro Variables and Global Risks: Evidence from US Industry Portfolios

This article investigates whether global risks have statistical significance for 49 industry equity portfolios for the United States in the presence of Fama–French (FF) factors and a set of macro variables. Baseline results indicate that some FF factors appear to be significant for some industries with and without the presence of macro variables. Augmented versions of the model show that the FF factors retain their statistical significance even with the inclusion of the geopolitical risk index. Further, additions of other global risk factors reveal that they surface as statistically significant under both the presence of FF factors and the macro variables. Finally, in all regression (including panel) specifications, the stock market is always highly statistically significant, implying its wide local and global informational content under many control variables, a result not yet documented in the empirical financial literature.