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Multifactor models and their consistency with the ICAPM: Evidence from the European Stock Market

 
: Lutzenberger, Fabian T.

:

European financial management 21 (2015), Nr.5, S.1014-1052
ISSN: 1354-7798
ISSN: 1468-036X
Englisch
Zeitschriftenaufsatz
Fraunhofer FIT ()

Abstract
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.

: http://publica.fraunhofer.de/dokumente/N-392020.html