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dc.contributor.authorLajili, Souad
HAL ID: 743949
dc.date.accessioned2010-01-18T10:07:18Z
dc.date.available2010-01-18T10:07:18Z
dc.date.issued2003
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/3005
dc.language.isofren
dc.subjectRisk factors and The Fama and French Modelen
dc.subjectAnomaliesen
dc.subjectAsset Pricingen
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.titleSize and book to market effects: further evidence from the French caseen
dc.typeCommunication / Conférence
dc.description.abstractenThe 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.en
dc.identifier.citationpages34en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitleAFFI (Association Française de Finance)en
dc.relation.confdate2003-12
dc.relation.confcityParisen
dc.relation.confcountryFranceen


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