Document Type

Article

Publication Date

7-2015

Publication Title

Journal of Business and Policy Research

Volume

10

Issue

1

Pages

96-114

Publisher Name

World Business Institute

Abstract

This paper investigates whether value and size premia exist in the Euro area's industry returns and, if so, what factors are driving them. We use a Garch-M (1, 1) model on daily retum data from the STOXX market indices for five major industries in the euro area. Our findings show that an industry-specific three-factor Fama and French type model does provide a robust explanation of returns over the period, 2001 -2012. While, our results further emphasize the widespread influence of the value and size effects in the Euro market, the pattern, sign, size, and significance of these factors vary widely across different industries and market conditions.

Identifier

1838-3742

Comments

Author Posting. © World Business Institute, 2015. This article is posted here by permission of World Business Institute for personal use, not for redistribution. The definitive version was published in Journal of Business and Policy Research, Vol. 10, Iss. 1, (2015) http://www.wbiaus.org/jbpr.htm

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 License.

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