Search results for "Size premium"
showing 4 items of 4 documents
Predictable Dynamics in the Small Stock Premium
2014
We start this paper by providing a detailed study of how the mean monthly return on the Small-Minus-Big (SMB) Fama-French factor is affected by the January effect and the stock market return during the preceding month and preceding calendar year. We then proceed to building a predictive model for the monthly SMB factor return that incorporates the January effect and the dependence on both the market return during the preceding month and preceding calendar year. Our findings suggest that a positive small stock premium appears mainly during the years following the years with a negative return on the market as the result of a delayed and stronger reaction of small stocks to good news and a str…
Forecasting the size premium over different time horizons
2013
Abstract 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.
Forecasting the Size Premium Over Different Horizons
2011
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.
Small Employers, Large Employers and the Skill Premium
2015
I document the comovement of the skill premium with the differential employer size wage premium between high- and low-skill workers in U.S. manufacturing during the postwar era. For the baseline specification, i.e., establishments with at least 500 employees categorized as large employers and non-production workers as high-skilled, I obtain a correlation coefficient of 0.87. Exploiting variations across subindustries while controlling for other potentially relevant factors, I estimate that an increase by ten log-points in the differential size premium is associated with an increase in the skill premium by three log-points.