Advanced Search
MyIDEAS: Login to save this paper or follow this series

Seasonality, Size Premium and the Relationship Between the Risk and the Return of French Common Stocks

Contents:

Author Info

  • Gabriel Hawawini
  • Claude Viallet

Abstract

Recent work on the price behavior of French common stocks concluded that the evidence is consistent with equity pricing according to the Capital Asset Pricing Model (CAPM). In this paper we re-examine the evidence on the risk-return characteristics of French equity and show that the estimated parameters of the risk-return relationship exhibit strong seasonality. The risk- return relationship is not linear and portfolio size affect equity pricing during January. These results cast some doubt on the validity of the CAPM as a descriptor of French equity returns.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Paper provided by Wharton School Rodney L. White Center for Financial Research in its series Rodney L. White Center for Financial Research Working Papers with number 09-88.

as in new window
Length:
Date of creation:
Date of revision:
Handle: RePEc:fth:pennfi:09-88

Contact details of provider:
Postal: 3254 Steinberg Hall-Dietrich Hall, Philadelphia, PA 19104-6367
Phone: (215) 898-7616
Fax: (215) 573-8084
Email:
Web page: http://finance.wharton.upenn.edu/~rlwctr/
More information through EDIRC

Related research

Keywords:

Other versions of this item:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Gabriel Hawawini & Donald B. Keim, . "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 07-97, Wharton School Rodney L. White Center for Financial Research.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:fth:pennfi:09-88. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.