International Journal of Business and Economics

International Journal of Business and Economics
Volume 3, No. 2

August, 2004
On the Robustness of the Fama and French Multifactor Model: 
Evidence from France, Germany, and the United Kingdom
Mirela Malin
Department of Accounting, Finance and Economics, Griffith University, Australia
Madhu Veeraraghavan
Department of Accounting and Finance, The University of Auckland Business School, New Zealand
In this paper we investigate the robustness of the Fama-French multifactor model for equities listed in three European markets. We find evidence of a small firm effect in France and Germany and a big firm effect in the United Kingdom. Also, we do not find any evidence of a value effect for the markets investigated in this paper. Instead, we document a growth effect. Finally, we reject the argument that seasonal effects can explain the multifactor model results.
Keywords:CAPM, small firm effect, value premia, seasonal effects, multifactor models.
JEL Classifications:G120, G150.