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The Alternative Three-Factor Model: an Alternative beyond U.S. Markets?

Walkshäusl, Christian ; Lobe, Sebastian



Abstract

We investigate the performance of the alternative three-factor model across markets. The important US evidence of Chen et al. (2010) in favour of the alternative model does not translate to a test setting using data from 40 non-US stock markets. The three-factor model of Fama and French provides persistently a better description of average returns. Our analysis is robust across developed and ...

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