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Dissecting Anomalies
Eugene F. Fama
University of Chicago - Booth School of Business (Finance Authors)
Kenneth R. French
Dartmouth College - Tuck School of Business; National Bureau of Economic Research (NBER)
June 2007
CRSP Working Paper No. 610
Abstract:
The anomalous returns associated with net stock issues, accruals, and momentum are pervasive; they show up in all size groups (micro, small, and big) in cross-section regressions, and they are also strong in sorts, at least in the extremes. The asset growth and profitability anomalies are less robust. There is an asset growth anomaly in average returns on microcaps and small stocks, but it is absent for big stocks. Among profitable firms, higher profitability tends to be associated with abnormally high returns, but there is little evidence that unprofitable firms have unusually low returns.
Number of Pages in PDF File: 37
Keywords: Anomalies
JEL Classification: G12
working papers series
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Date posted: June 26, 2006
Suggested CitationFama, Eugene F. and French, Kenneth R., Dissecting Anomalies (June 2007). CRSP Working Paper No. 610. Available at SSRN: http://ssrn.com/abstract=911960 or http://dx.doi.org/10.2139/ssrn.911960
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