Article (Scientific journals)
Understanding the Stable Components of Seasonality in the Size Effect
Fays, Boris; Hübner, Georges; Lambert, Marie
2022In Journal of Portfolio Management, 48 (7), p. 138-155
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Keywords :
Size Premium; Fama-French Factors; DSN Factors; Calendar Anomaly; Turn-of-the-year Effect; January Effect
Abstract :
[en] This paper employs a sequential portfolio sorting procedure, called DSN, to factor size characteristics into returns. This leads to narrower portfolios than the original Fama-French (FF) ‘small’ and ‘big’ SMB components. The DSN sorting uncovers a purely seasonal part of the global size premium, due to a January effect. The stocks that are common to the FF and DSN small cap portfolios are smaller and of lower quality than those that are only retained by the FF procedure. This phenomenon supports a “tax-loss-pruning” hypothesis, in which investors discard small cap stocks with the lowest quality around the year end for tax reasons.
Disciplines :
Finance
Author, co-author :
Fays, Boris ;  Université de Liège - ULiège > HEC Liège : UER > UER Finance et Droit : Analyse financière et finance d'entr.
Hübner, Georges  ;  Université de Liège - ULiège > HEC Liège : UER > UER Finance et Droit : Gestion financière
Lambert, Marie ;  Université de Liège - ULiège > HEC Liège : UER > UER Finance et Droit : Analyse financière et finance d'entr.
Language :
English
Title :
Understanding the Stable Components of Seasonality in the Size Effect
Publication date :
July 2022
Journal title :
Journal of Portfolio Management
ISSN :
0095-4918
eISSN :
2168-8656
Publisher :
Institutional Investor Systems, New York, United States - New York
Volume :
48
Issue :
7
Pages :
138-155
Peer reviewed :
Peer Reviewed verified by ORBi
Available on ORBi :
since 21 October 2021

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