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Book synopsis

The main purpose of this dissertation is threefold. For one, we aim to shed further light on the general pricing ability of the Fama and French (1993) (FF) three-factor model (3FM) in Europe. For two, we mean to assess whether the FF factors are related to systematic risk and, thus, whether the 3FM is consistent with an intertemporal asset pricing explanation behind the size and book-to-market effects. For three, we endeavor to measure the extent to which European equity markets are integrated.

Book details

Book category Knihy po anglicky Economics, finance, business & management Economics

• Full title: Adventures of Fama and French in Europe
• Author: Andreas Hanhardt
• Language: English
• Binding: Paperback
• Number of pages: 464
• EAN: 9783838118970
• ISBN: 3838118979
• ID: 02271667
• Publisher: Sudwestdeutscher Verlag Fur Hochschulschriften AG
• Weight: 676 g
• Dimensions: 229 × 152 × 26 mm
• Date of publishing: 28. July 2010

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