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.
|Published (Last):||18 January 2016|
|PDF File Size:||20.28 Mb|
|ePub File Size:||19.1 Mb|
|Price:||Free* [*Free Regsitration Required]|
Sign In Forgot password? This article is also available for rental through DeepDyve.
Access to full text is restricted to subscribers. 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. Wiley Content Delivery or Christopher F.
EconPapers: Dissecting Anomalies
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. You do not currently have access to this article. Corrections All material on this site has dissectjng provided dissectinng the respective publishers and authors. Abstract A five-factor model that adds profitability RMW and investment CMA frenh to the three-factor model of Fama and French suggests a shared story for several average-return 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. Oxford University Press is a department of the University of Oxford.
You can help adding them by using this form. Don’t already have an Oxford Academic account? Copyright c The American Finance Association.
Consumption Taxes and Corporate Investment. Measuring Tail Risks at High Frequency. This allows to link your profile to this item. 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. Purchase Subscription prices and ordering Short-term Access To purchase short term access, please sign in to your Oxford Academic account above.
Download full text from publisher File URL: Help us Corrections Found an error or omission? As the access to this document is restricted, you may want to search for a different version of it. It also allows you to accept potential citations to this item that we are uncertain about. Sign In or Create an Account. You can help correct errors and omissions. Don’t have an account? More about this item Statistics Access and download statistics.
Email alerts New issue alert. More about this item Statistics Access and download statistics Corrections All material on this site has been provided by the respective publishers and authors.
Close mobile search navigation Article navigation. Most users should sign in with their email address. Sign in via your Institution Sign in. Receive exclusive offers and updates from Oxford Academic. See general information about how to correct material in RePEc. We have no references for this item.
When requesting a correction, please mention this item’s handle: RePEc uses bibliographic data supplied by the respective publishers. If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. If you originally registered with a username please use that to sign in. For Permissions, please e-mail: It furthers the University’s objective of excellence in research, scholarship, and education by publishing worldwide.
Citing articles via Web of Science There is an asset growth anomaly in average returns on microcaps and small stocks, but it is absent for big stocks.
To purchase short anomaliess access, please sign in to your Oxford Academic account above. For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: General contact details of provider: If you know of missing items citing anomales one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. Shock Propagation and Banking Structure.
The asset growth fxma profitability anomalies are less robust. Related articles in Web of Science Google Scholar. Please note that corrections may take a couple of weeks to filter through the various RePEc services. You could not be signed in.