Understanding the Value and Size premia: What Can We Learn from Stock Migrations?
The majority of the realized size and value premia reflect earnings-induced price surprises and thus cannot be part of the expected risk premia. The realized premia usually happen, as a price adjustment, to the firms that receive earnings shocks and migrate across size and value categories, and only during the migration periods. In addition, the systematic risks of the migrating firms completely change after the migration. The joint evidence suggests that the expected size and value risk premia are much smaller than their realized counterparts. Finally, the size premium has not disappeared: not considering small growth firms, the size premium is as robust as ever.
国际会议
Third Shanghai Winter Finance Conference(第三届上海冬季金融研讨会)
上海
英文
1-49
2010-12-18（万方平台首次上网日期，不代表论文的发表时间）