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Conditional Asset Pricing and Stock Market Anomalies in Europe
Authors:Rob Bauer  Mathijs Cosemans  Peter C Schotman
Institution:1. Maastricht University and NETSPAR
E‐mail: R.Bauer@finance.unimaas.nl;2. Maastricht University, P.O. Box 616, 6200 MD Maastricht, Netherlands
E‐mail: M.Cosemans@finance.unimaas.nl;3. Maastricht University, CEPR and NETSPAR
E‐mail: P.Schotman@finance.unimaas.nl
Abstract:This study provides European evidence on the ability of static and dynamic specifications of the Fama‐French (1993) three‐factor model to price 25 size‐B/M portfolios. In contrast to US evidence, we detect a small‐growth premium and find that the size effect is still present in Europe. Furthermore, we document strong time variation in factor risk loadings. Incorporating these risk fluctuations in conditional specifications of the three‐factor model clearly improves its ability to explain time variation in expected returns. However, the model still fails to completely capture cross‐sectional variation in returns as it is unable to explain the momentum effect.
Keywords:conditional asset pricing  time‐varying risk  stock market anomalies  G12  G14
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