Financial crises and the global value premium: Revisiting Fama and French

Ehab A. Yamani and Peggy E. Swanson

Journal of International Financial Markets, Institutions and Money, 2014, vol. 33, issue C, 115-136

Abstract: This paper examines the impact of financial contagion resulting from global financial crises based on analyses of the global value premium as represented by thirteen countries. We propose a new model that is a composite of the asymmetric GARCH model and the Fama–French two factor model. Then we investigate behavior of the value premium within crisis periods as well as behavior for pre-crisis, crisis and post-crisis periods. Results show that equity markets become more integrated after financial crises that exhibit global effects but less integrated after crises that exhibit regional effects. Overall findings support the risk story of the global value premium.

Keywords: Financial crisis; Contagion; Financial integration; Global value premium; GARCH (search for similar items in EconPapers)
JEL-codes: G01 G12 G15 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:33:y:2014:i:c:p:115-136

DOI: 10.1016/j.intfin.2014.07.012

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