The Market Model Applied to European Common Stocks: Some Empirical Results

Gerald A. Pogue and Bruno H. Solnik

Journal of Financial and Quantitative Analysis, 1974, vol. 9, issue 6, 917-944

Abstract: The stock price literature abounds with applications of the Markowitz [16] – Sharpe [18] market model to American stock price data. There is a lack of corresponding studies for non-American securities, due primarily to the absence of generally available machine readable data bases (see, however, [1], [2], [8, Section 9.5], [11], [17], and [20]. The purpose of this paper is to present the results of some initial tests of the market model for a broad cross-section of the European common stocks. Our data base consists of daily price and dividend data for 229 stocks from seven European countries. In addition, for comparison purposes we have included a sample of 65 American securities.

Date: 1974
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