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 R² coefficients in the extreme quantiles, as well as in extreme stages of the economy, that is, in the bullish and bearish market states.

这项研究探索了一些欧洲特定公司的回报对2000年1月至2019年12月样本期间提出的解释性因素变化的敏感性。我们重点研究旅游和服务业的上市公司，并估计Fama和法国采用五分位数模型（2015），采用分位数回归方法。具体而言，本研究从Fama和法国的风险因素入手，并添加了名义利率，动量和动量反转因素以及交易性流动性因素。为了提高鲁棒性，本研究将整个采样期分为三个子时段：危机前，危机和危机后。与以前的文献一致，该因子模型的解释力显示为U形，与最高R兼容极端分位数以及经济极端阶段（即看涨和看跌的市场状态）的^2个系数。