Walkshaeusl, Christian and Lobe, Sebastian (2014) The Alternative Three-Factor Model: An Alternative beyond US Markets? EUROPEAN FINANCIAL MANAGEMENT, 20 (1). pp. 33-70. ISSN 1354-7798, 1468-036X
Full text not available from this repository. (Request a copy)Abstract
We investigate the performance of the alternative three-factor model across markets. The important US evidence of Chen et al. (2010) in favour of the alternative model does not translate to a test setting using data from 40 non-US stock markets. The three-factor model of Fama and French provides persistently a better description of average returns. Our analysis is robust across developed and emerging markets, robust to alternative measures of investment and profitability, to seasonality effects, to size-segmented subsamples and subperiods, to various test assets, and to the two-stage cross-section regression approach to test for priced factors.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | EXPECTED STOCK RETURNS; CROSS-SECTIONAL RETURNS; ASSET PRICING MODEL; BOOK-TO-MARKET; INTERNATIONAL EVIDENCE; EMPIRICAL-EVIDENCE; AVERAGE RETURNS; SHARE ISSUANCE; COMMON-STOCKS; RISK; alternative three-factor model; classic three-factor model; international markets |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzdienstleistungen (Prof. Dr. Klaus Röder) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 29 Nov 2019 09:18 |
| Last Modified: | 29 Nov 2019 09:18 |
| URI: | https://pred.uni-regensburg.de/id/eprint/10956 |
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