Financial Crises and the Global Value Premium: Revisiting Fama-French
“Results show that equity markets become more integrated after financial crises that exhibit global effects but less integrated after crises that exhibit regional effects.”
AssetEquities
StrategyValue investing
TechniqueClassical time serieslinear factor model
GeographyGlobalEurope
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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