Reference : Size and Value Matter But Not the Way You Thought
Scientific congresses and symposiums : Unpublished conference/Abstract
Business & economic sciences : Finance
http://hdl.handle.net/2268/192808
Size and Value Matter But Not the Way You Thought
English
Lambert, Marie mailto [Université de Liège > HEC-Ecole de gestion : UER > Analyse financière et finance d'entreprise >]
Fays, Boris mailto [Université de Liège > HEC-Ecole de gestion : UER > Analyse financière et finance d'entreprise >]
Hübner, Georges mailto [Université de Liège > HEC-Ecole de gestion : UER > Gestion financière >]
18-Dec-2015
Yes
International
28th Australian Conference in Banking and Finance
Du 16 décember 2015 au 18 décembre 2015
UNSW Business School
Sydney
Australia
[en] Finance ; Banking ; Asset pricing
[en] Fama and French risk premiums do not reliably estimate the magnitude of the size or book-to-market effects, inducing many researchers to inflate the number of factors. We object that controlling ex ante for noise in the estimation procedure enables to keep a parsimonious set of factors. We replace Fama and French’s independent rankings with the conditional ones introduced by Lambert and Hübner (2013). This alternative framework generates much stronger “turn-of-the-year” size and “through-the-year” book-to-market effects than conventionally documented. Furthermore, the factors deliver less specification errors when used to price portfolios, especially regarding the “small angels” (low size – high BTM stocks).
Researchers
http://hdl.handle.net/2268/192808
http://ssrn.com/abstract=2647298

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