| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP12684
|
| DP12684 Size Matters, if You Control Your Junk |
| Lasse Heje Pedersen
|
| 发表日期 | 2018-02-05
|
| 出版年 | 2018
|
| 语种 | 英语
|
| 摘要 | The size premium has been challenged along many fronts: it has a weak historical record, varies significantly over time, in particular weakening after its discovery in the early 1980s, is concentrated among microcap stocks, predominantly resides in January, is not present for measures of size that do not rely on market prices, is weak internationally, and is subsumed by proxies for illiquidity. We find, however, that these challenges are dismantled when controlling for the quality, or the inverse “junk”, of a firm. A significant size premium emerges, which is stable through time, robust to the specification, more consistent across seasons and markets, not concentrated in microcaps, robust to non-price based measures of size, and not captured by an illiquidity premium. Controlling for quality/junk also explains interactions between size and other return characteristics such as value and momentum. |
| 主题 | Financial Economics
|
| 关键词 | Size
Size effect
Size anomaly
Small cap
Microcap
Quality
Junk
|
| URL | https://cepr.org/publications/dp12684
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541496
|
推荐引用方式
GB/T 7714 |
Lasse Heje Pedersen. DP12684 Size Matters, if You Control Your Junk. 2018.
|
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