Proceedings of the 17th International Academic Conference, Vienna

A NEW PERSPECTIVE ON THE SIZE, VALUE, AND MOMENTUM EFFECTS: BROAD SAMPLE EVIDENCE FROM EUROPE

JAMES FOYE

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.

Keywords: capital asset pricing, four-factor model, momentum premium, three-factor model, size premium, value premium

DOI: 10.20472/IAC.2015.017.027

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