Size and book to market effects: further evidence from the French case
Lajili, Souad (2004), Size and book to market effects: further evidence from the French case, Northern Finance Association 2004 Conference, 2004-09, St John's, Canada
TypeCommunication / Conférence
Conference titleNorthern Finance Association 2004 Conference
Conference citySt John's
MetadataShow full item record
Abstract (EN)The objective of this paper is to study the market, SMB, HML and The leverage factors inexplaining cross-sectional returns.We provide the first empirical analysis of Ferguson and Shockley (2003) theoretical frame work on the French stock market. Book to market and size, variables which a recorrelated with leverage, will appear to explain returns.Our main result is that the leverage factor doesn’t subsume the SMB and HML factors. Incross-sectional regressions, only the size premium is statistically significant and help explaining returns.In time- series regressions, the three factors (SMB, HML andleverage),with the market portfolio,do a good job. This result suggests that the leverage portfolio has an additional improvement of the model.
Subjects / KeywordsAsset Pricing; Anomalies; Risk factors and The Fama and French Model
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