Beta, size and returns: a study on the French Stock Exchange

Jean-Jacques Lilti () and Helene Rainelli-Le Montagner
Authors registered in the RePEc Author Service: Helene Rainelli-Weiss

Applied Financial Economics, 1998, vol. 8, issue 1, 13-20

Abstract: The aim of this paper is to test the relationship between average returns and beta of French stocks over the last six years (1990-1995). Numerous and contradictory studies recently published in the American literature have cast doubts as to whether beta plays a role at all when it comes to explaining average returns on the American Stock Exchange (e.g. Fama and French, 1992; Pettengill et al., 1995). As the results obtained seem to depend upon the methodology used, we propose to implement some of the methodological advances advocated in these recent papers to test for the usefulness of beta as a determinant of returns on the French Stock Exchange. This subject has not been dealt with in recent literature.

Date: 1998
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DOI: 10.1080/096031098333203

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