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The main purpose of this dissertation is threefold. For one, we aim to shed further light on the general pricing ability of the Fama and French (1993) (FF) three-factor model (3FM) in Europe. For two, we mean to assess whether the FF factors are related to systematic risk and, thus, whether the 3FM is consistent with an intertemporal asset pricing explanation behind the size and book-to-market effects. For three, we endeavor to measure the extent to which European equity markets are integrated.

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Andreas Hanhardt obtained his PhD with a major in finance from ESADE Business School University Ramon Llull in Barcelona,Spain. He further holds a BSc and MSc in Business Administrationfrom Rotterdam School of Management Erasmus University in the Netherlands. Andreas was as well a visting scholar at Wharton in Philadelphia, PA, USA.

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