Anomalies: Is it the Economy?
There is still no consensus on whether small firm or value stock anomalies exist. We examine the last half of the 20th century and apply a six-factor macroeconomic model to test for the presence of these abnormal returns. Using four proxies for value, we find that detecting this anomaly is sensitive to choice of proxy, the magnitude of the abnormal returns varies over time, and the anomaly does not persist through time. Additional tests provide evidence that abnormal returns for small, value-oriented, and growth-oriented firms differ significantly under restrictive versus expansive monetary policy regimes. 2004 The Southern Finance Association and the Southwestern Finance Association.
Year of publication: |
2004
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Authors: | Hahn, TeWhan ; O'Neill, Michele ; Reyes, Mario G. |
Published in: |
Journal of Financial Research. - Southern Finance Association - SFA, ISSN 0270-2592. - Vol. 27.2004, 2, p. 273-287
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Publisher: |
Southern Finance Association - SFA Southwestern Finance Association - SWFA |
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