Alves, Paulo and Ferreira, Miguel (2008): Centre Rules the Markets. Published in: IUP Journal of Applied Finance , Vol. 15, (2008): pp. 489-498.
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Abstract
In this paper we evaluate the impact of the European Monetary Union based on the Fama and French three-factor model. Our research shows that the models based on EMU factors present worse explanatory power than models based on local and international factors, although international factors do not have a significant role. We also find that there is a tendency for the biggest European stock markets to be explained by international factors, contrarily to the smallest. We understand that behaviour as being a signal of integration of the largest capital markets. Finally, we recommend portfolio managers to use the local Fama and French model in the case of small and value stocks and use the local Capital Asset Pricing model in the case of big and growth stocks.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | Centre Rules the Markets |
| English Title: | Centre Rules the Markets |
| Language: | English |
| Keywords: | FFM; CAPM; |
| Subjects: | G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets |
| Item ID: | 52779 |
| Depositing User: | Paulo Alves |
| Date Deposited: | 10 Jan 2014 10:11 |
| Last Modified: | 02 Oct 2019 15:14 |
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| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/52779 |
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