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作者：Heaton, John; Lucas, Deborah
作者单位：Northwestern University
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作者：Kahneman, Daniel; Schwartz, Alan; Thaler, Richard H.; Tversky, Amos
作者单位：University of Chicago
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作者：Leland, Hayne E.; Feldstein, Martin; Glauber, Robert R.; Mullins, David W., Jr.; Wallman, Steven M. H.
作者单位：University of California System; University of California Berkeley
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作者：Lucas, Deborah J.; McDonald, Robert L.
作者单位：Northwestern University
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作者：Maxam, Clark L.
作者单位：Montana State University System; Montana State University Bozeman
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作者：Schrand, Catherine M.; Unal, Haluk
作者单位：University System of Maryland; University of Maryland College Park
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作者：Wylie, Samuel, V
作者单位：University of London; London Business School
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作者：Knez, PJ; Ready, MJ
作者单位：Northwestern University; University of Wisconsin System; University of Wisconsin Madison
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 ...
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作者：Benartzi, Shlomo; Michaely, Roni; Thaler, Richard H.
作者单位：University of California System; University of California Los Angeles
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作者：Bernardo, Antonio; Ledoit, Olivier
作者单位：University of California System; University of California Los Angeles
