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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The anomalous returns associated with net stock ffama, 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. Download full text from publisher File URL: Consumption Taxes and Corporate Investment. You can help adding them by using this form.
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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. To purchase short term access, please sign in to your Oxford Academic account above. 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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Measuring Tail Risks at High Frequency. More about this dissetcing Statistics Access and download statistics Corrections All material on this site has been provided by the respective publishers and dissectjng.
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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. This allows to link your profile to this item. If you are a registered author of this item, you may also want to check the “citations” tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
A five-factor model that adds profitability RMW and investment CMA dizsecting to the three-factor model of Fama and French suggests a shared story for several average-return anomalies.