DISSECTING ANOMALIES FAMA FRENCH PDF

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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Dissecting Anomalies

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There is an asset growth anomaly in average returns on microcaps and small stocks, but it is absent for big stocks. We have no references for this item. Wiley Content Delivery or Christopher F. General contact details of provider: 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.

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Sign in via your Institution Sign in. The asset growth and profitability anomalies are less robust. To purchase short term access, please sign in to your Oxford Academic account above.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. A five-factor model that adds profitability RMW and investment CMA factors anokalies the three-factor model of Fama and French suggests a shared story for several average-return anomalies.

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See general information about how to correct material in RePEc. Most users should sign in with their email address. When requesting a correction, please mention this item’s handle: Among profitable firms, higher profitability tends to be associated with abnormally high returns, but there is little frfnch that unprofitable firms have unusually low returns. More about this item Statistics Access and download statistics Corrections All material on this site has been provided by the respective publishers and authors.

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Dissecting Anomalies

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. You can help adding them by using this form. Email alerts New issue alert. It furthers the University’s objective of excellence in research, scholarship, and education by publishing worldwide.

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