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Size and Value Matter But Not the Way You Thought
Lambert, Marie; Fays, Boris; Hübner, Georges
201528th Australian Conference in Banking and Finance
 

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Keywords :
Finance; Banking; Asset pricing
Abstract :
[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).
Disciplines :
Finance
Author, co-author :
Lambert, Marie ;  Université de Liège > HEC-Ecole de gestion : UER > Analyse financière et finance d'entreprise
Fays, Boris ;  Université de Liège > HEC-Ecole de gestion : UER > Analyse financière et finance d'entreprise
Hübner, Georges  ;  Université de Liège > HEC-Ecole de gestion : UER > Gestion financière
Language :
English
Title :
Size and Value Matter But Not the Way You Thought
Publication date :
18 December 2015
Event name :
28th Australian Conference in Banking and Finance
Event organizer :
UNSW Business School
Event place :
Sydney, Australia
Event date :
Du 16 décember 2015 au 18 décembre 2015
Audience :
International
Available on ORBi :
since 03 February 2016

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