Dissecting Anomalies. EUGENE KENNETH R. FRENCH. Eugene F. The asset growth and profitability anomalies are less robust. There is. By Eugene F. Fama and Kenneth French; Abstract: The anomalous returns associated with net stock issues, accruals, and momentum are. Eugene F. Fama & Kenneth R. French, “Dissecting Anomalies,” Journal of Finance, American Finance Association, vol. 63(4), pages , August.

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Dissecting Anomalies with a Five-Factor Model | The Review of Financial Studies | Oxford Academic

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The anomalous returns associated with net stock issues, accruals, and momentum are pervasive; they show up in all size groups micro, small, and big in cross-section regressions, and they are also strong in sorts, at least in the extremes.

We have no references for this item. Abstract A five-factor model that adds profitability RMW and investment CMA factors to the three-factor model of Fama and French suggests a shared story for several average-return anomalies. Among profitable firms, higher profitability tends to be associated with abnormally high returns, but there is crench evidence that unprofitable firms have unusually low returns.

There is an asset growth anomaly in average returns on microcaps and small stocks, but it is absent for big stocks.

Dissecting Anomalies

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Dissecting Anomalies

Close mobile search navigation Article navigation. Sign In or Create an Account. Dissrcting five-factor model that adds profitability RMW and investment CMA factors to the three-factor model of Fama and French suggests a shared story for several average-return anomalies. RePEc uses bibliographic data supplied by the respective publishers.

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