Fama and French Meet Datastream: Size, Value, Profitability, and Investment Factors in International Stock Returns

55 Pages Posted: 16 Oct 2019

See all articles by Nusret Cakici

Nusret Cakici

Fordham University

Adam Zaremba

Poznań University of Economics and Business; University of Dubai

Date Written: October 5, 2019

Abstract

Using Datastream database, we calculate the five-factor model for global equity markets and compare the results with the five-factor model of Fama and French (2015, 2017) which is mainly based on data from Bloomberg. The results suggest that Datastream provides similar coverage and yields outcomes qualitatively consistent with the Bloomberg-based sample of Fama and French. Most factor returns are driven by the smallest firms. We demonstrate that virtually no value, profitability, or investment effects are present among the big firms representing most of the total market capitalization around the world. Given the fact that those small firms are not investable by big financial institutions, our findings cast doubt on the applicability of the five-factor models in international markets.

Keywords: Datastream, Five-Factor Model, Size, Value, Profitability, Investment, Asset Pricing, International Stock Markets, Small-Minus-Big (SMB), High-Minus-Low (HML), Robust-Minus-Weak (RMW), Conservative-Minus-Aggressive (CMA).

JEL Classification: C89, G12, G15

Suggested Citation

Cakici, Nusret and Zaremba, Adam, Fama and French Meet Datastream: Size, Value, Profitability, and Investment Factors in International Stock Returns (October 5, 2019). Available at SSRN: https://ssrn.com/abstract=3464865 or http://dx.doi.org/10.2139/ssrn.3464865

Nusret Cakici (Contact Author)

Fordham University ( email )

Fordham University
Graduate School of Business
New York, NY 10023
United States
2126366776 (Phone)

Adam Zaremba

Poznań University of Economics and Business ( email )

al. Niepodległości 10
Poznań, 61-875
Poland

HOME PAGE: http://adamzaremba.pl

University of Dubai ( email )

Academic City
Dubai, 14143
United Arab Emirates

HOME PAGE: http://adamzaremba.pl/

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