Article
Do Size and Value Premia Vary Across Industry and Market Conditions? Evidence from the Euro Area
Journal of Business and Policy Research
Document Type
Article
Publication Date
7-1-2015
Pages
96-114
Publisher Name
World Business Institute
Disciplines
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
Creative Commons License
Creative Commons Attribution-Noncommercial-No Derivative Works 3.0
Copyright Statement
© World Business Institute, 2015
Citation Information
Maher Asal, Abolhasson Jalilvand and Lars Rolseth. "Do Size and Value Premia Vary Across Industry and Market Conditions? Evidence from the Euro Area" Journal of Business and Policy Research Vol. 10 Iss. 1 (2015) Available at: http://works.bepress.com/abol_jalilvand/5/
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