On the Robustness of the Fama and French Multifactor Model: Evidence from France, Germany, and the United Kingdom
Mirela Malin and
Madhu Veeraraghavan
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Madhu Veeraraghavan: Department of Accounting and Finance, The University of Auckland Business School, New Zealand
International Journal of Business and Economics, 2004, vol. 3, issue 2, 155-176
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.
Keywords: CAPM; small firm effect; value premia; seasonal effects; multifactor models (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:ijb:journl:v:3:y:2004:i:2:p:155-176
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