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On the Robustness of the Fama and French Multifactor Model: Evidence from France, Germany, and the United Kingdom

Mirela Malin

Department of Accounting, Finance and Economics, Griffith University, Australia

Department of Accounting and Finance, The University of Auckland Business School, New Zealand

In this paper we investigate the robustness of the Fama-French multifactor model for equities listed in three European markets. We find evidence of a small firm effect in France and Germany and a big firm effect in the United Kingdom. Also, we do not find any evidence of a value effect for the markets investigated in this paper. Instead, we document a growth effect. Finally, we reject the argument that seasonal effects can explain the multifactor model results.

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