Multifactor Models and their Consistency with the ICAPM: Evidence from the European Stock Market

被引：4

作者：

Lutzenberger, Fabian T. ^{[1
,2
]}

机构：

[1] Univ Augsburg, Res Ctr Finance & Informat Management, D-86135 Augsburg, Germany

[2] Univ Augsburg, Inst Mat Resource Management, D-86135 Augsburg, Germany

来源：

EUROPEAN FINANCIAL MANAGEMENT | 2015年 / 21卷 / 05期

关键词：

asset pricing; Europe; ICAPM; multifactor models; risk factors; CROSS-SECTION; ASSET PRICES; RISK-FACTORS; RETURNS; EXPLANATIONS; MOMENTUM; TESTS; SIZE;

D O I：

10.1111/eufm.12050

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper conducts a European investigation of eight multifactor models that have been previously tested using US data. Many results confirm the US evidence: Most of the eight multifactor models investigated do a good job explaining the cross-section of our testing portfolios, but most models are not justifiable by the Intertemporal CAPM (ICAPM). Carhart's four-factor model shows the best empirical performance and consistency with the ICAPM. Nevertheless, some results counter the US evidence: Fama and French's three-factor model is inconsistent with the ICAPM and the models of Hahn and Lee (2006) and Koijen et al. (2010) show low explanatory power.

引用

页码：1014 / 1052

页数：39

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