Posted: 12 May 2016 Last revised: 27 Jun 2017
Date Written: May 1, 2016
If Value is a statistical concept that transforms into Growth (Pal, 2016b) then the Mean Reversion Ranking Framework (Pal, 2015a) with its three bin classification Value-Core-Growth could be a new way to look at market efficiency and CAPM. The Value-Core-Growth RMI™ Indices built around the methodology of overweighting Value and Growth and under-weighting Core allows for a new Indexing methodology that brings the question raised by Banz (1978) regarding the possibility of Size being a proxy, back into the discussion. This paper compares the Value-Growth factor with the Fama and French factors.
Keywords: Excess Returns, Size Factor, Value Factor, Fama and French, Beta
JEL Classification: A00, A10
Suggested Citation: Suggested Citation