Predictable Dynamics in the Small Stock Premium
Author
Source
Economics Research International
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-02-20
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
We start this paper by providing a detailed study of how the mean monthly return on the Small-Minus-Big (SMB) Fama-French factor is affected by the January effect and the stock market return during the preceding month and preceding calendar year.
We then proceed to building a predictive model for the monthly SMB factor return that incorporates the January effect and the dependence on both the market return during the preceding month and preceding calendar year.
Our findings suggest that a positive small stock premium appears mainly during the years following the years with a negative return on the market as the result of a delayed and stronger reaction of small stocks to good news and a stronger January effect.
We also argue that the January effect constitutes a much lesser part of the size effect than it was previously supposed.
American Psychological Association (APA)
Zakamulin, Valeriy. 2014. Predictable Dynamics in the Small Stock Premium. Economics Research International،Vol. 2014, no. 2014, pp.1-12.
https://search.emarefa.net/detail/BIM-469453
Modern Language Association (MLA)
Zakamulin, Valeriy. Predictable Dynamics in the Small Stock Premium. Economics Research International No. 2014 (2014), pp.1-12.
https://search.emarefa.net/detail/BIM-469453
American Medical Association (AMA)
Zakamulin, Valeriy. Predictable Dynamics in the Small Stock Premium. Economics Research International. 2014. Vol. 2014, no. 2014, pp.1-12.
https://search.emarefa.net/detail/BIM-469453
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-469453