Finance and Financial Management Commons^™

Do Size And Value Premia Vary Across Industry And Market Conditions? Evidence From The Euro Area, Maher Asal, Abolhasson Jalilvand, Lars Rolseth

School of Business: Faculty Publications and Other Works

This paper investigates whether value and size premia exist in the Euro area's industry returns and, if so, what factors are driving them. We use a Garch-M (1, 1) model on daily retum data from the STOXX market indices for five major industries in the euro area. Our findings show that an industry-specific three-factor Fama and French type model does provide a robust explanation of returns over the period, 2001 -2012. While, our results further emphasize the widespread influence of the value and size effects in the Euro market, the pattern, sign, size, and significance of these factors vary widely …