Conditional Asset Pricing and Stock Market Anomalies in Europe
用欧洲数据检验Fama-French三因子模型的静态和动态版本能否解释25个规模-账面市值比组合的收益，发现小盘成长股溢价和规模效应仍存在，但模型无法解释动量效应。
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.