Abstract

http://ssrn.com/abstract=1917431
 
 

References (25)



 


 



The Size and Book-to-Market Effects Revisited


Marie Lambert


University of Liege - HEC Management School; Maastricht University - School of Business and Economics; Free University of Brussels, Belgium - Solvay Brussels School of Economics and Management

Georges Hubner


HEC Management School - University of Liège; Maastricht University - Department of Finance; Gambit Financial Solutions

April 26, 2012


Abstract:     
Fama and French (F&F) factors do not represent pure estimates of the size and book-to-market effects. We argue that the independent sorting procedure underlying the formation of the F&F mimicking portfolios distorts the rankings of US stocks along the size and book-to-market dimensions, causing spurious correlations between the premiums. Replacing independent rankings by conditional ones improves the properties of the individual risk premiums. As a major improvement, the technique delivers less specification errors when pricing passive investment indices.

Number of Pages in PDF File: 70

Keywords: Fama-French, Carhart, Size, Book-to-market, Momentum, Mimicking Portfolios

JEL Classification: G11, G12

working papers series





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Date posted: August 27, 2011 ; Last revised: November 23, 2012

Suggested Citation

Lambert, Marie and Hubner, Georges, The Size and Book-to-Market Effects Revisited (April 26, 2012). Available at SSRN: http://ssrn.com/abstract=1917431 or http://dx.doi.org/10.2139/ssrn.1917431

Contact Information

Marie Lambert (Contact Author)
University of Liege - HEC Management School ( email )
Boulevard du Rectorat 7 (B31)
LIEGE, Liege 4000
Belgium
Maastricht University - School of Business and Economics ( email )
Tongersestraat 53
P.O. Box 616
Maastricht, 6200 MD
Netherlands
HOME PAGE: http://www.fdewb.unimaas.nl/finance/?page=member&id=254
Free University of Brussels, Belgium - Solvay Brussels School of Economics and Management
19 Av Franklin Roosevelt
1050
Brussels
Belgium
Georges Hubner
HEC Management School - University of Liège ( email )
Rue Louvrex 14, Bldg. N1
Liege, 4000
Belgium
+32 42327428 (Phone)
Maastricht University - Department of Finance ( email )
Maastricht, 6200 MD
Netherlands
Gambit Financial Solutions ( email )
Rue Forgeur 17
Liège, 4000
Belgium
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