Abstract

http://ssrn.com/abstract=1720139
 
 

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Size, Value, and Momentum in International Stock Returns


Eugene F. Fama


University of Chicago - Finance

Kenneth R. French


Dartmouth College - Tuck School of Business; National Bureau of Economic Research (NBER)

June 21, 2011

Fama-Miller Working Paper
Tuck School of Business Working Paper No. 2011-85
Chicago Booth Research Paper No. 11-10

Abstract:     
In the four regions (North America, Europe, Japan, and Asia Pacific) we examine, there are value premiums in average stock returns that, except for Japan, decrease with size. Except for Japan, there is return momentum everywhere, and spreads in average momentum returns also decrease from smaller to bigger stocks. We test whether empirical asset pricing models capture the value and momentum patterns in international average returns and whether asset pricing seems to be integrated across the four regions. Integrated pricing across regions does not get strong support in our tests. For three regions (North America, Europe, and Japan) local models that use local explanatory returns provide passable descriptions of local average returns for portfolios formed on size and value versus growth. Even local models are less successful in tests on portfolios formed on size and momentum.

Number of Pages in PDF File: 36

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Date posted: December 5, 2010 ; Last revised: June 23, 2011

Suggested Citation

Fama, Eugene F. and French, Kenneth R., Size, Value, and Momentum in International Stock Returns (June 21, 2011). Fama-Miller Working Paper; Tuck School of Business Working Paper No. 2011-85; Chicago Booth Research Paper No. 11-10. Available at SSRN: http://ssrn.com/abstract=1720139 or http://dx.doi.org/10.2139/ssrn.1720139

Contact Information

Eugene F. Fama (Contact Author)
University of Chicago - Finance ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
773-702-7282 (Phone)
773-702-9937 (Fax)
Kenneth R. French
Dartmouth College - Tuck School of Business ( email )
Hanover, NH 03755
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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