The role of shorting, firm size, and time on market anomalies

• 成果类型: Article
• 署名作者: Israel, Ronen; Moskowitz, Tobias J.
• 署名单位: University of Chicago; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.11.005
• 发表日期: 2013
• 页码: 275-301
• 关键词: Asset pricing; Market anomalies; market efficiency; size; Value; momentum

摘要

We examine the role of shorting, firm size, and time on the profitability of size, value, and momentum strategies. We find that long positions make up almost all of size, 60% of value, and half of momentum profits. Shorting becomes less important for momentum and more important for value as firm size decreases. The value premium decreases with firm size and is weak among the largest stocks. Momentum profits, however, exhibit no reliable relation with size. These effects are robust over 86 years of US equity data and almost 40 years of data across four international equity markets and five asset classes. Variation over time and across markets of these effects is consistent with random chance. We find little evidence that size, value, and momentum returns are significantly affected by changes in trading costs or institutional and hedge fund ownership over time. (C) 2012 Elsevier B.V. All rights reserved.