This paper investigates the structure of international stock returns in Europe and the U.S., and examines whether international capital markets are integrated. Using data on 6000 firms in the U.S. and twelve European countries from 1978 to 1990, we find evidence that countries share multiple...

This paper examines the ability of beta and size to explain cross-sectional variation in average returns in twelve European countries. We find that average stock returns are positively related to beta and negatively related to firm size. The beta premium is in part due to the fact that high beta...