The Market Model Applied to European Common Stocks Some Empirical Results

G a Gerald a Pogue

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This result is most evi- dent for daily observations, less so for monthly data. The results for the small Three show a lower correlation of daily parameters than the Big Five; however, the results are not significantly different for monthly sub-parameters.
2 Interestingly, the cross-sectional correlation of B and R actually 13 increase with interval size for one of the smaller countries (The Netherlands) .
As for the alpha excess return measures, little evidence for their predictability can be ...found. Exceptions perhaps are Great Britain and Italy. For Great Britain the correlation between sub-period alpha values is signi- ficant at the five percent level for all intervals. For Italy the relation- ship between the subperiod t values is significant at the five percent level VI. Implications for Market Efficiency Our final task is to review our results for their implications regarding relative market efficiency. While our tests are not extensive enough to permit definitive conclusions, they permit a number of interesting observations.

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