On the Premium Puzzles in the French Stock Market

Aya Nasreddine () and Souad Lajili Jarjir ()
Additional contact information
Aya Nasreddine: CEROS - Centre d'Etudes et de Recherches sur les Organisations et la Stratégie - UPN - Université Paris Nanterre
Souad Lajili Jarjir: IRG - Institut de Recherche en Gestion - UPEM - Université Paris-Est Marne-la-Vallée - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12

Post-Print from HAL

Abstract: In this paper, we study the characteristics of French stock returns using asset pricing models over a long period including crisis periods. Especially, we test the CAPM, Fama and French [1993] three factor and Carhart [1997] four factor models on the French Stock Market over more than three decades. We use returns of 25 size/book to market and 25 size/momentum portfolios. Our study covers the period from July 1981 to June 2013. We find robust results about the French market. The four factor model explains better the common variation in stock returns, still it adds marginal explication compared to the three factor model. However, we show that size, value and momentum effects are more significant when stock markets are febrile. Except for loser portfolios, our results suggest that asset pricing models are more relevant for big capitalizations compared to small ones. Finally, using the Gibbons, Ross and Shanken [1989] test, market, size, value and momentum factors explain better stock returns than one and three factor models. All our results show the superiority of the four factor model. In the French stock market, we show that market, size, value and premium factors provide better description of stock returns particularly over crisis period. Finally, we show that the better proxy for the market portfolio is the value-weighted portfolio of all stocks.

Keywords: Asset Pricing; Anomalies; Size effect; Value effect; Momentum (search for similar items in EconPapers)
Date: 2015-06
References: Add references at CitEc
Citations:

Published in 5th Internatinal Conference of the Financial Engineering and Banking Society FEBS, Jun 2015, Nantes, France

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01367112

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().