An alternative three-factor model for international markets: Evidence from the European Monetary Union
AbstractIn this paper, we construct the three-factor model introduced by Chen et al. (2010) for a European sample covering 10 countries from the European Monetary Union and the period from 1990 to 2006. Two key findings result. First, we show that the properties of the European factors are comparable to those of the US factors. Second, we show that the alternative three-factor model’s explanatory power is either equal or superior to the explanatory power of traditional models when applied to five commonly known stock market anomalies. Our results thus suggest the use of international versions of the Chen et al. (2010) factor model in addition to traditional factor models in international empirical finance research.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 36 (2012)
Issue (Month): 7 ()
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Web page: http://www.elsevier.com/locate/jbf
Multi-factor models; Cross-section of stock returns; Fama and French three-factor model;
Other versions of this item:
- Ammann, Manuel & Odoni, Sandro & Oesch, David, 2012. "An Alternative Three-Factor Model for International Markets: Evidence from the European Monetary Union," Working Papers on Finance 1202, University of St. Gallen, School of Finance.
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
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