Dissecting Anomalies. EUGENE KENNETH R. FRENCH. Eugene F. The asset growth and profitability anomalies are less robust. There is. By Eugene F. Fama and Kenneth French; Abstract: The anomalous returns associated with net stock issues, accruals, and momentum are. Eugene F. Fama & Kenneth R. French, “Dissecting Anomalies,” Journal of Finance, American Finance Association, vol. 63(4), pages , August.
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Abstract A five-factor model that adds profitability RMW and investment CMA factors to the three-factor model of Fama and French suggests a shared story for several average-return anomalies. Close mobile search navigation Article navigation.
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A five-factor model that adds profitability RMW and investment CMA factors to faka three-factor model of Fama and French suggests a shared story for several average-return anomalies. Help us Corrections Found an error or omission?
When requesting a correction, please mention this item’s handle: The anomalous returns associated with net stock issues, frennch, 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.
Consumption Taxes and Corporate Investment.
It furthers the University’s objective of excellence in research, scholarship, and education by publishing worldwide. There is an asset growth anomaly in average returns on microcaps and small stocks, but it is absent for big stocks.
You could not be signed in. 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. Please note that corrections may take a couple of weeks to filter through the various RePEc services. You can help adding them by using this form.
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