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| Author: | Lajili-Jarjir, S. |
| Title: | Explaining the cross-section of stock returns in France: Characteristics or risk factors? |
| Journal: | European Journal of Finance
2007 : JAN/FEB, VOL. 13:1-2, p. 145-158 |
| Index terms: | stock returns portfolio investment risk analysis capital asset pricing models France |
| Language: | eng |
| Abstract: | Using French stock markets, this paper tests the 3-factor model of Fama and French and the 'characteristic model' (hereafter for 'characteristic' as: charc.) of Daniel and Titman. Stocks are ranked by size and book to market ratio etc. Based on average returns, the factor model with 'charc. balanced' portfolios is rejected. In contrary, in time-series regressions results are consistent with the factor pricing model and inconsistent with the charc.-based pricing model etc. |
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