haku: @all momentum / yhteensä: 241
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Tekijä:Bauer, R.
Cosemans, M.
Schotman, P.C.
Otsikko:Conditional asset pricing and Stock market anomalies in Europe
Lehti:European Financial Management
2010 : MAR, VOL. 16:2, p. 165-190
Asiasana:assets
prices
risk
stock markets
models
Europe
USA
Vapaa asiasana:conditional
time-varying
anomalies
Kieli:eng
Tiivistelmä:The article analyzes and provides European evidence on the ability of static and dynamic specifications of the Fama-French (1993) three-factor model to price 25 size-B/M portfolios,in contrast to US evidence. It is found a small-growth premium and the size effect is still present in Europe and suggests strong time variation in factor risk loadings. The author incorporates these risk fluctuations in conditional specifications of the three-factor model clearly improves its ability to explain time variation in expected returns but the model still fails to completely capture cross-sectional variation in returns as it is unable to explain the momentum effect.
SCIMA tietueen numero: 272471
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