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A New Perspective on the Size, Value, and Momentum Effects: Broad Sample Evidence from Europe

Author

Listed:
  • James Foye

    (University of Ljubljana)

Abstract

This paper provides a comprehensive analysis of whether stock returns in Europe are best characterized by country-specific or Europe-wide versions of widely used factor models. The paper offers an explanation to the puzzle of why Fama and French (2012) detect value and momentum premiums but no size premium in Europe. Furthermore, my findings shed new light on these premiums as well as presenting a challenge to existing applications of widely used factor models as I show that although the value and momentum premiums exist at a Europe-wide level, the size premium is country-specific ? a finding which is unique to this paper.

Suggested Citation

  • James Foye, 2015. "A New Perspective on the Size, Value, and Momentum Effects: Broad Sample Evidence from Europe," Proceedings of International Academic Conferences 2604415, International Institute of Social and Economic Sciences.
    • Handle: RePEc:sek:iacpro:2604415
    as

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    File URL: https://iises.net/proceedings/17th-international-academic-conference-vienna/table-of-content/detail?cid=26&iid=027&rid=4415
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    References listed on IDEAS

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    More about this item

    Keywords

    capital asset pricing; four-factor model; momentum premium; three-factor model; size premium; value premium;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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