{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,22]],"date-time":"2026-10-22T23:40:53Z","timestamp":1792712453092,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":30,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>The relative effectiveness of the Capital Asset Pricing Model (CAPM), the Fama-French three-factor model (FF3), and the Fama-French five-factor model (FF5) in explaining European stock returns throughout three macroeconomic regimes from January 2010 to December 2024 is studied in this research. The study analyzes whether the ranking of these models remains stable throughout the European Sovereign Debt Crisis (2010\u20132012), the post-crisis recovery and quantitative easing era (2013\u20132019), and the COVID-19 pandemic shock and post-pandemic inflation cycle (2020\u20132024) using 25 size- and book-to-market portfolios created from Kenneth French's European data library. Across all three regimes, FF5 delivers the highest adjusted R\u00b2 and is the most consistent performer, although FF3 remains competitive on average pricing error. The Gibbons, Ross, and Shanken (GRS) test shows that factor pricing performance is dependent on the regime and that no single model completely resolves pricing errors during acute market stress because it rejects jointly zero alphas for all three models during crisis and post-pandemic periods but not during the more tranquil recovery years. The results acknowledged the usefulness of FF3's more economical specification while endorsing FF5 as the more dependable default for asset managers.&amp;nbsp;<\/jats:p>","DOI":"10.2139\/ssrn.7623518","type":"posted-content","created":{"date-parts":[[2026,10,19]],"date-time":"2026-10-19T05:27:07Z","timestamp":1792387627000},"source":"Crossref","is-referenced-by-count":0,"title":["Asset Pricing Model Performance across Macroeconomic Regimes: CAPM, FF3 and FF5 in European Equity Markets, 2010-2024"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0004-2994-0554","authenticated-orcid":true,"given":"Ishaan","family":"Sharma","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Mujtaba","family":"Syed","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"issue":"1","key":"ref1","doi-asserted-by":"crossref","first-page":"57","DOI":"10.1111\/j.1540-6261.1997.tb03808.x","article-title":"Mutual fund performance over time","volume":"52","author":"M M Carhart","year":"1997","journal-title":"The Journal of Finance"},{"issue":"4","key":"ref2","doi-asserted-by":"crossref","first-page":"1047","DOI":"10.1111\/j.1540-6261.2011.01671.x","article-title":"Discount rates","volume":"66","author":"J H Cochrane","year":"2011","journal-title":"The Journal of Finance"},{"key":"ref3","author":"Q Cui","year":"2026","journal-title":"Dynamic sparsity in stochastic discount factor estimation: A sparse fused GMM approach"},{"key":"ref4","author":"M Draghi","year":"2012","journal-title":"Verbatim of the remarks made at the Global Investment Conference. 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