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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RePEc uses bibliographic data supplied by the respective publishers. Close mobile search navigation Article navigation. Download full text from publisher File URL: There is an asset growth anomaly in average returns on microcaps and small stocks, but it is absent for big stocks.

Dissecting Anomalies

Please note that corrections may take a couple of weeks to filter through the various RePEc services. 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.

If you originally registered with a username please use that to sign in. Measuring Tail Risks at High Frequency. 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.

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You do not currently have access to this article. When requesting a correction, please mention this item’s handle: 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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Dissecting Anomalies

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Sign in via your Institution Sign in. The asset growth and profitability anomalies are less robust.

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