We test whether (i) the CAPM, (ii) the Fama amp; French model, and (iii) the Carhart model are able to price equity collectively across Europe. We find that all models explain a large percentage of the variation in equity returns, not only for the majority of countries considered but also for...

We test for stock market integration in the Eurozone using a novel stochastic discount factor (SDF) approach. The proposed method is adopted from Flood and Rose and rests upon estimating and comparing the expectations of pricing kernels across publicly listed stocks. While expected SDFs are...

Liew and Vassalou show that the returns to HML and SMB contain incremental information on future Gross Domestic Product (GDP) growth rates in selected countries. We extend these findings in focusing not only on 16 European countries but also on 11 pan-Eurozone industries and the Eurozone as a...