An alternative three-factor model for international markets: Evidence from the European Monetary Union

► We construct an international version of the factor model proposed by Chen et al. (2010). ► The model consists of a market factor, an investment factor, and a return on assets factor. ► The properties of our international factors are similar to the properties of the U.S. factors. ► The explanatory power of the alternative model is equal or superior to that of traditional factor models.