Currency Conversion of Fama/French Factors: How and Why?

Posted: 19 Aug 2019 Last revised: 13 Oct 2019

See all articles by Maximilian Glück

Maximilian Glück

Friedrich-Alexander-Universität Erlangen-Nürnberg

Benjamin Hübel

Friedrich-Alexander-Universität Erlangen-Nürnberg

Hendrik Scholz

Friedrich-Alexander-Universität Erlangen-Nürnberg

Date Written: August 15, 2019

Abstract

Investors and researchers around the world use Fama/French factors in empirical studies. Most convenient is to download those factors in U.S. Dollars from databases like Kenneth French’s data library. When working from a non-U.S. perspective without converting the currencies of the factors, estimations of both alphas and factor loadings could be affected by exchange rate fluctuations. In this paper we show how to convert Fama/French factors into currencies other than U.S. Dollars. We also illustrate the statistical and economical relevance of the currency conversion based on performance and style analysis of more than 1,700 European equity funds and common European market indices.

Keywords: Fama/French Factors, currency conversion, international perspective, performance analysis

JEL Classification: G11, G12, G14

Suggested Citation

Glück, Maximilian and Hübel, Benjamin and Scholz, Hendrik, Currency Conversion of Fama/French Factors: How and Why? (August 15, 2019). Available at SSRN: https://ssrn.com/abstract=3437648

Maximilian Glück (Contact Author)

Friedrich-Alexander-Universität Erlangen-Nürnberg ( email )

Lange Gasse 20
Lange Gasse 20,
Nürnberg, 90403
Germany

Benjamin Hübel

Friedrich-Alexander-Universität Erlangen-Nürnberg ( email )

Germany
0049-911-5302405 (Phone)
0049-911-5302466 (Fax)

HOME PAGE: http://www.lfb.rw.fau.de/team/research-assistants/benjamin-huebel/

Hendrik Scholz

Friedrich-Alexander-Universität Erlangen-Nürnberg ( email )

Lange Gasse 20
Lange Gasse 20,
Nürnberg, 90403
Germany

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