• xmlui.mirage2.page-structure.header.title
    • français
    • English
  • Help
  • Login
  • Language 
    • Français
    • English
View Item 
  •   BIRD Home
  • DRM (UMR CNRS 7088)
  • DRM : Publications
  • View Item
  •   BIRD Home
  • DRM (UMR CNRS 7088)
  • DRM : Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesTypeThis CollectionBy Issue DateAuthorsTitlesType

My Account

LoginRegister

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors
Thumbnail

The capital asset pricing model and the three factor model of Fama and French revisited in the case of France

Lajili, Souad (2002), The capital asset pricing model and the three factor model of Fama and French revisited in the case of France. https://basepub.dauphine.fr/handle/123456789/9237

View/Open
cereg2002-10.pdf (290.7Kb)
Type
Document de travail / Working paper
Date
2002
Publisher
Université Paris-Dauphine
Series title
Cahier de recherche CEREG (DRM)
Series number
2002-10
Published in
Paris
Pages
26
Metadata
Show full item record
Author(s)
Lajili, Souad
Abstract (EN)
Size and book to market ratio are both highly correlated with the average returns of common stocks. Fama and French (1993) argue that these effects are proxies for factors of risk. In this study, we try to test the three factor model of Fama and French and the Capital Asset Pricing Model on the French Stock Market. We use returns on the six Fama and French portfolios sorted by size and book to market ratio. The sample is taken from July 1976 to June 2001. Our results show that the three factor model explains better the common variation in stock returns than the capital asset pricing model. Moreover, both the CAPM and the three factor model do a good job in explaining the cross section of stock returns. We test the three factor model with a set of market portfolios and we show that all market portfolios capture the common variation in stock returns. However, only the value-weight market portfolio can explain the cross-section in the stock returns. Finally, we test the January effet in the French case and we show that there is no January effect for both the dependent variable (stock portfolios) and the explanatory variables(the market, HML and SMB)
Subjects / Keywords
Book to market ratio; Size effect; Asset Pricing; Fama and French Unconditional Model and Anomalies; Risk factors
JEL
G12 - Asset Pricing; Trading Volume; Bond Interest Rates

Related items

Showing items related by title and author.

  • Thumbnail
    Explaining the Cross-Section of Stock Returns in France : Characteristics or Risk Factors? 
    Lajili, Souad (2007) Article accepté pour publication ou publié
  • Thumbnail
    Les facteurs d'inclusion et d'exclusion des personnes issues de territoires en difficulté : le cas de trois PME localisées en Seine-Saint-Denis. 
    Laïchour, Hacène (2020-06-02) Thèse
  • Thumbnail
    Size and book to market effects: further evidence from the French case 
    Lajili, Souad (2004) Communication / Conférence
  • Thumbnail
    Size and book to market effects: further evidence from the French case 
    Lajili, Souad (2003) Communication / Conférence
  • Thumbnail
    Social capital entrepreneur-related factors and internationalization : the case of french SMEs in china 
    Goxe, François; Viala, Céline (2009) Communication / Conférence
Dauphine PSL Bibliothèque logo
Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16
Phone: 01 44 05 40 94
Contact
Dauphine PSL logoEQUIS logoCreative Commons logo