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The Market Model Applied to European Common Stocks: Some Empirical Results

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  • Pogue, Gerald A.
  • Solnik, Bruno H.

Abstract

The stock price literature abounds with applications of the Markowitz [16] – Sharpe [18] market model to American stock price data. There is a lack of corresponding studies for non-American securities, due primarily to the absence of generally available machine readable data bases (see, however, [1], [2], [8, Section 9.5], [11], [17], and [20]. The purpose of this paper is to present the results of some initial tests of the market model for a broad cross-section of the European common stocks. Our data base consists of daily price and dividend data for 229 stocks from seven European countries. In addition, for comparison purposes we have included a sample of 65 American securities.

Suggested Citation

  • Pogue, Gerald A. & Solnik, Bruno H., 1974. "The Market Model Applied to European Common Stocks: Some Empirical Results," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(6), pages 917-944, December.
    • Handle: RePEc:cup:jfinqa:v:9:y:1974:i:06:p:917-944_01
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    Cited by:

    1. Perron, Pierre & Chun, Sungju & Vodounou, Cosme, 2013. "Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 42-62.
    2. Nikolai Stoichev, 2002. "Information Noise in the Stock Market and Profitability of the Financial Asset," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 88-115.
    3. Shamsuddin, Abul F. M. & Kim, Jae H., 2003. "Integration and interdependence of stock and foreign exchange markets: an Australian perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(3), pages 237-254, July.
    4. Albert Corhay & Alireza Tourani Rad, 1993. "Return Interval, Firm Size And Systematic Risk On The Dutch Stock Market," Review of Financial Economics, John Wiley & Sons, vol. 2(2), pages 19-28, March.
    5. John C. Larson & Joel N. Morse, 1987. "Intervalling Effects In Hong Kong Stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(4), pages 353-362, December.
    6. Nikolay Stoychev, 2002. "Financial assets: market behavior and profitability," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 68-92.
    7. Georgios Mantsios & Stylianos Xanthopoulos, 2016. "The Beta intervalling effect during a deep economic crisis - evidence from Greece," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 9(1), pages 19-26, April.
    8. Raphael Markellos & Terence Mills, 2003. "Asset pricing dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 533-556.
    9. Bartłomiej Lisicki, 2023. "Sektorowe zróżnicowanie efektu interwału akcji spółek z GPW w dobie pandemii COVID-19," Ekonomista, Polskie Towarzystwo Ekonomiczne, issue 2, pages 174-194.
    10. Hawawini, Gabriel, 1979. "An assessment of risk in thinner markets: the Belgian case," MPRA Paper 33971, University Library of Munich, Germany.
    11. Masih, Mansur & Alzahrani, Mohammed & Al-Titi, Omar, 2010. "Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 10-18, January.
    12. Groh, Alexander Peter & Gottschalg, Oliver, 2011. "The effect of leverage on the cost of capital of US buyouts," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2099-2110, August.
    13. Alexander Peter Groh & Oliver Gottschalg, 2008. "The Opportunity Cost of Capital of US Buyouts," NBER Working Papers 14148, National Bureau of Economic Research, Inc.
    14. Beer, Francisca Marie, 1997. "Estimation of risk on the Brussels Stock Exchange: Methodological issues and empirical results," Global Finance Journal, Elsevier, vol. 8(1), pages 83-94.
    15. Dimitrios Dadakas & Christos Karpetis & Athanasios Fassas & Erotokritos Varelas, 2016. "Sectoral Differences in the Choice of the Time Horizon during Estimation of the Unconditional Stock Beta," IJFS, MDPI, vol. 4(4), pages 1-13, December.

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