The 'Size Premium' in Equity Markets: Where is the Risk?
| Autor: | Stefano Ciliberti, Jean-Philippe Bouchaud, Guillaume Simon, Emmanuel Sérié, Yves Lemperiere |
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| Rok vydání: | 2017 |
| Předmět: | |
| DOI: | 10.48550/arxiv.1708.00644 |
| Popis: | We find that when measured in terms of dollar-turnover, and once $\beta$-neutralised and Low-Vol neutralised, the Size Effect is alive and well. With a long term t-stat of $5.1$, the "Cold-Minus-Hot" (CMH) anomaly is certainly not less significant than other well-known factors such as Value or Quality. As compared to market-cap based SMB, CMH portfolios are much less anti-correlated to the Low-Vol anomaly. In contrast with standard risk premia, size-based portfolios are found to be virtually unskewed. In fact, the extreme risk of these portfolios is dominated by the large cap leg; small caps actually have a positive (rather than negative) skewness. The only argument that favours a risk premium interpretation at the individual stock level is that the extreme drawdowns are more frequent for small cap/turnover stocks, even after accounting for volatility. This idiosyncratic risk is however clearly diversifiable. Comment: Working paper |
| Databáze: | OpenAIRE |
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