Fama and French Meet Datastream: Size, Value, Profitability, and Investment Factors in International Stock Returns
55 Pages Posted: 16 Oct 2019
Date Written: October 5, 2019
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: Suggested Citation