Transcription of A Multiple Factor Model for European Stocks
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A Multiple Factor Model for European Stocks
A Multiple Factor Model for European Stocks THOMAS G. STEPHAN*, RAIMOND MAURER** AND MARTIN D RR** *) Deutscher Investment Trust (DIT), D-60329 Frankfurt/Main, Mainzer , Germany Telephone: 49 69 263 14306 Facsimile: 49 69 263 14937 E-Mail: **) Johann Wolfgang Goethe University of Frankfurt/Main, Chair for Investment, Portfolio Management and Pension Systems D - 60054 Frankfurt/Main, Mertonstrasse 17, Germany Telephone: 49 69 798 25227 Facsimile: 49 69 798 25228 E-mail: **) Deutscher Investment Trust (DIT), D-60329 Frankfurt/Main, Mainzer , Germany Telephone: 49 69 263 14555 Facsimile: 49 69 263 14972 E-Mail: Abstract We present an empirical study focusing on the estimation of a fundamental multi- Factor Model for a universe of European Stocks . Following the approach of the BARRA Model , we have adopted a cross-sectional methodology.
1. Introduction Multiple factor models attempt to describe asset returns and their covariance matrix as a function of a limited number of risk attributes.
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