Size, value, and momentum in international stock returns

• 成果类型: Article
• 署名作者: Fama, Eugene F.; French, Kenneth R.
• 署名单位: University of Chicago; Dartmouth College
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.05.011
• 发表日期: 2012
• 页码: 457-472
• 关键词: Value premium; momentum; Three-factor model; Four-factor model

摘要

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. (C) 2012 Elsevier B.V. All rights reserved.