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The Fama and French (F&F) factors do not reliably estimate the size and book-to-market effects. Our paper shows that the former has been underestimated in the US market while the latter overestimated. We do so by replacing F&F's independent rankings by the conditional ones introduced by Lambert...
Persistent link: https://www.econbiz.de/10013032249
Persistent link: https://www.econbiz.de/10012429017
Persistent link: https://www.econbiz.de/10012489144
The Fama and French (F&F) factors do not reliably estimate the size and book-to-market effects. Our paper shows that the former has been underestimated in the US market while the latter overestimated. We do so by replacing F&F's independent rankings by the conditional ones introduced by Lambert...
Persistent link: https://www.econbiz.de/10013015575
Persistent link: https://www.econbiz.de/10013392006
Persistent link: https://www.econbiz.de/10013258989