On the Robustness of the Fama and French Multifactor Model: Evidence from France, Germany, and the United Kingdom
AbstractIn this paper we investigate the robustness of the Fama-French multifactor model for equities listed in three European markets. We find evidence of a small firm effect in France and Germany and a big firm effect in the United Kingdom. Also, we do not find any evidence of a value effect for the markets investigated in this paper. Instead, we document a growth effect. Finally, we reject the argument that seasonal effects can explain the multifactor model results.
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Bibliographic InfoArticle provided by College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan in its journal International Journal of Business and Economics.
Volume (Year): 3 (2004)
Issue (Month): 2 (August)
CAPM; small firm effect; value premia; seasonal effects; multifactor models;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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