Evidence on size, value, operating profitability and investment in the french market

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Unlike U.S. firms, French companies with high asset growth rates outperform more conservative ones. There is evidence on value, operating profitability, investment and a remarkable size effect on the French market from January 1990 to July 2016. Like Fama and French (2016), small stock returns remain harder to explain whatever the model used. The size factor seems redundant in the data. An alternative orthogonal five-factor model specifically designed for the French market better describes stock returns than previous asset pricing models. We bring some insights on the French specificities through a large sample comprising 1,163 firms such as the lower volatility of the small caps.

Author(s):

Marc Desban    
Université Paris-Est
France