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What does βsmb > 0 really mean?
Chen, Hsiu-lang; Bassett, Gilbert W. - In: The journal of financial research 37 (2014) 4, pp. 543-551
Persistent link: https://www.econbiz.de/10011547580
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Portfolio style : return-based attribution using quantile regression
Bassett, Gilbert W.; Chen, Hsiu-lang - In: Empirical economics : a journal of the Institute for … 26 (2001) 1, pp. 293-305
Persistent link: https://www.econbiz.de/10001563717
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What Does ßSMB>0 Really Mean?
Chen, Hsiu-Lang - 2015
A positive SMB coefficient in a Fama-French regression is often interpreted as signaling a portfolio weighted toward small-cap stocks. We present a portfolio with known very large size, which has a positive SMB coefficient for all periods. We emphasize that this is associated with the...
Persistent link: https://www.econbiz.de/10013015764