A New Perspective on the Size, Value, and Momentum Effects: Broad Sample Evidence from Europe

James Foye ()
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James Foye: University of Ljubljana

No 2604415, Proceedings of International Academic Conferences from International Institute of Social and Economic Sciences

Abstract: This paper provides a comprehensive analysis of whether stock returns in Europe are best characterized by country-specific or Europe-wide versions of widely used factor models. The paper offers an explanation to the puzzle of why Fama and French (2012) detect value and momentum premiums but no size premium in Europe. Furthermore, my findings shed new light on these premiums as well as presenting a challenge to existing applications of widely used factor models as I show that although the value and momentum premiums exist at a Europe-wide level, the size premium is country-specific ? a finding which is unique to this paper.

Keywords: capital asset pricing; four-factor model; momentum premium; three-factor model; size premium; value premium (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2015-07
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Published in Proceedings of the Proceedings of the 17th International Academic Conference, Vienna, Jul 2015, pages 115-140

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Persistent link: https://EconPapers.repec.org/RePEc:sek:iacpro:2604415

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