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On the Robustness of the Fama and French Multifactor Model: Evidence from France, Germany, and the United Kingdom

Author

Listed:
  • Mirela Malin

    (Department of Accounting, Finance and Economics, Griffith University, Australia)

  • Madhu Veeraraghavan

    (Department of Accounting and Finance, The University of Auckland Business School, New Zealand)

Abstract

In 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.

Suggested Citation

  • Mirela Malin & Madhu Veeraraghavan, 2004. "On the Robustness of the Fama and French Multifactor Model: Evidence from France, Germany, and the United Kingdom," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 3(2), pages 155-176, August.
  • Handle: RePEc:ijb:journl:v:3:y:2004:i:2:p:155-176
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    Cited by:

    1. repec:rmk:rmkjrc:v:4:y:2017:i:1:p:51-69 is not listed on IDEAS
    2. Romilda Mazzotta & Stefania Veltri, 2014. "The relationship between corporate governance and the cost of equity capital. Evidence from the Italian stock exchange," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 18(2), pages 419-448, May.
    3. Nawar Hashem & Larry Su, 2015. "Industry Concentration and the Cross-Section of Stock Returns: Evidence from the UK," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 16(4), pages 769-785, August.
    4. Chandra Shekhar Bhatnagar & Riad Ramlogan, 2012. "The capital asset pricing model versus the three factor model: A United Kingdom Perspective," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 2(1), pages 51-65, February.
    5. Paola Brighi & Stefano d'Addona & Antonio Carlo Francesco Della Bina, 2010. "Too Small or too Low? New Evidence on the 4-Factor Model," Working Paper series 31_10, Rimini Centre for Economic Analysis.

    More about this item

    Keywords

    CAPM; small firm effect; value premia; seasonal effects; multifactor models;

    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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