On the Robustness of the Fama and French Multifactor Model: Evidence from France, Germany, and the United Kingdom

Abstract

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_x000D_ 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.