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Size and book to market effects: further evidence from the French case

Lajili, Souad (2003), Size and book to market effects: further evidence from the French case, AFFI (Association Française de Finance), 2003-12, Paris, France

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Type
Communication / Conférence
Date
2003
Conference title
AFFI (Association Française de Finance)
Conference date
2003-12
Conference city
Paris
Conference country
France
Pages
34
Metadata
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Author(s)
Lajili, Souad
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 / Keywords
Risk factors and The Fama and French Model; Anomalies; Asset Pricing
JEL
G12 - Asset Pricing; Trading Volume; Bond Interest Rates

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