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
TypeCommunication / Conférence
Conference titleAFFI (Association Française de Finance)
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 / KeywordsRisk factors and The Fama and French Model; Anomalies; Asset Pricing
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