Factors: Size Matters, If Yous Command Your Junk Asness Et Al

From the Journal of Financial Economics via ScienceDirect, June 15:

• Clifford Asness^a,
• Andrea Frazzini^a,
• Ronen Israel^a,
• Tobias J. Moskowitz^{a, b, c, ,} ,
• Lasse H. Pedersen^{a, d, e, f}

Abstract

The size premium has been defendant of having a weak historical record, beingness meager relative to other factors, varying significantly over time, weakening later on its discovery, beingness concentrated amidst microcap stocks, residing predominantly inward January, relying on price-based measures, as well as beingness weak internationally. We find, however, that these challenges disappear when controlling for the quality, or its inverse, junk, of a firm. H5N1 meaning size premium emerges, which is stable through time, robust to specification, non concentrated inward microcaps, to a greater extent than consistent across seasons, as well as evident for non-price-based measures of size, as well as these results concur inward xxx dissimilar industries as well as 24 international equity markets. The resurrected size upshot is on par alongside anomalies such every bit value as well as momentum inward terms of economical significance as well as gives ascent to novel tests of, as well as challenges for, existing property pricing theories.

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