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Does Aggregate Uncertainty Explain Size and Value Anomalies?

hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorAboura, Sofiane*
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorArisoy, Eser*
dc.date.accessioned2017-03-13T14:07:53Z
dc.date.available2017-03-13T14:07:53Z
dc.date.issued2017
dc.identifier.issn0003-6846
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16335
dc.language.isoenen
dc.subjectUncertainty
dc.subjectvol-of-vol
dc.subjectVVIX
dc.subjectsize
dc.subjectvalue
dc.subject.ddc658.1en
dc.subject.classificationjelG.G1.G11en
dc.subject.classificationjelG.G1.G10en
dc.subject.classificationjelG.G0.G01en
dc.titleDoes Aggregate Uncertainty Explain Size and Value Anomalies?
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherUniversité Paris 13
dc.description.abstractenThis paper examines the impact of aggregate uncertainty on return dynamics of size and book-to-market ratio sorted portfolios. Using VVIX as a proxy for aggregate uncertainty, and controlling for market risk, volatility risk, correlation risk and the variance risk premium, we document significant portfolio return exposures to aggregate uncertainty. In particular, portfolios that contain small and value stocks have significant and negative uncertainty betas, whereas portfolios of large and growth stocks exhibit positive and significant uncertainty betas. Using a quasi-natural experimental setting around the financial crisis, we confirm the differential sensitivity of small versus big and value versus growth portfolios to aggregate uncertainty. We posit that due to their negative uncertainty betas, uncertainty-averse investors demand extra compensation to hold small and value stocks. Our results offer an uncertainty-based explanation to size and value anomalies.
dc.relation.isversionofjnlnameApplied Economics
dc.relation.isversionofjnlvol49
dc.relation.isversionofjnlissue32
dc.relation.isversionofjnldate2017
dc.relation.isversionofjnlpages3214-3230
dc.relation.isversionofdoi10.1080/00036846.2016.1257107
dc.identifier.urlsitehttp://dx.doi.org/10.1080/00036846.2016.1257107
dc.relation.isversionofjnlpublisherTaylor and Francis
dc.subject.ddclabelOrganisation et finances d'entrepriseen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2017-11-13T16:16:19Z
hal.identifierhal-01488305*
hal.version1*
hal.faultCode{"duplicate-entry":{"hal-01488305":{"doi":"1.0"}}}
hal.update.actionupdateMetadata*
hal.update.actionupdateFiles*
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