On the robustness of size and book-to-market in cross-sectional regressions

• 成果类型: Article
• 署名作者: Knez, PJ; Ready, MJ
• 署名单位: Northwestern University; University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329439
• 发表日期: 1997
• 页码: 1355-1382
• 关键词: expected stock returns; anomalies; RISK; strategies

摘要

We use a robust regression estimator to analyze the risk premia on size and book-to-market. We find that the risk premium on size that was estimated by Fama and French (1992) completely disappears when the 1 percent most extreme observations are trimmed each month. We also show that the negative average of the monthly size coefficients reported by Fama and French can be entirely explained by the 16 months with the most extreme coefficients. We argue that further investigation of these results could lead to an understanding of the economic forces underlying the size effect, and may also yield important insights into how firms grow.