Size matters, if you control your junk

• 成果类型: Article
• 署名作者: Asness, Clifford; Frazzini, Andrea; Israel, Ronen; Moskowitz, Tobias J.; Pedersen, Lasse H.
• 署名单位: Yale University; National Bureau of Economic Research; Copenhagen Business School; New York University; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.05.006
• 发表日期: 2018
• 页码: 479-509
• 关键词: Size premium; factor models; QUALITY

摘要

The size premium has been accused of having a weak historical record, being meager relative to other factors, varying significantly over time, weakening after its discovery, being concentrated among microcap stocks, residing predominantly in January, relying on price based measures, and being weak internationally. We find, however, that these challenges disappear when controlling for the quality, or its inverse, junk, of a firm. A significant size premium emerges, which is stable through time, robust to specification, not concentrated in microcaps, more consistent across seasons, and evident for non-price-based measures of size, and these results hold in 30 different industries and 24 international equity markets. The resurrected size effect is on par with anomalies such as value and momentum in terms of economic significance and gives rise to new tests of, and challenges for, existing asset pricing theories. (C) 2018 The Authors. Published by Elsevier B.V.