6533b7d8fe1ef96bd12696c9
RESEARCH PRODUCT
Forecasting the Size Premium Over Different Horizons
Valeriy Zakamulinsubject
Portfolio managerFinancial economicsEconometricsEconomicsPredictabilitySize premiumVolatility risk premiumhealth care economics and organizationsStock (geology)description
In this paper, we provide evidence that the small stock premium is predictable both in-sample and out-of-sample through the use of a set of lagged macroeconomic variables. We find that it is possible to forecast the size premium over time horizons that range from one month to one year. We demonstrate that the predictability of the size premium allows a portfolio manager to generate an economically and statistically significant active alpha.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2011-01-01 | SSRN Electronic Journal |