WHAT DOES βSMB > 0 REALLY MEAN?
WHAT DOES βSMB > 0 REALLY MEAN?
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Author / Creator
Publisher
Blackwell Publishing Ltd
Journal title
Language
English
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Publisher
Blackwell Publishing Ltd
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Scope and Contents
Contents
A positive SMB coefficient in a Fama–French regression is often interpreted as signaling a portfolio weighted toward small‐cap stocks. We present a very large portfolio, which has a positive SMB coefficient for all periods. We emphasize that this is associated with the coexistence of both “M”—the market—and “SMB”—the mimicking portfolio for size—in...
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Full title
WHAT DOES βSMB > 0 REALLY MEAN?
Authors, Artists and Contributors
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Record Identifier
TN_cdi_crossref_primary_10_1111_jfir_12047
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_crossref_primary_10_1111_jfir_12047
Other Identifiers
ISSN
0270-2592
E-ISSN
1475-6803
DOI
10.1111/jfir.12047
