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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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Dissecting Anomalies with a Five-Factor Model | The Review of Financial Studies | Oxford Academic

Abstract A five-factor model that adds profitability RMW and investment Anomailes factors to the three-factor model of Fama and French suggests a shared story for several average-return anomalies. More about this item Statistics Access and download statistics.

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Dissecting Anomalies

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See general information about how to correct material in RePEc. 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.

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To purchase short term access, please sign in to your Oxford Academic account above. Download full text from publisher File URL: It furthers the University’s objective of excellence in research, scholarship, and education by publishing worldwide. There is an asset growth anomaly in average returns on microcaps and small stocks, but it is absent for big stocks.

You could not be signed in. The asset growth and profitability anomalies are less robust. Copyright c The American Finance Association. 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.

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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. Purchase Subscription prices and ordering Short-term Access To purchase short term access, please sign in to your Oxford Academic account above. Shock Propagation and Banking Structure. Don’t have an account? If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item.