Jan

13

Concerning stock-type, in explanation of value and size effect (if they did or do exist, usual CSRP tapes caveats apply): Read here

Evidently the high-language of scholarship is evolving, as evidenced by (formerly known as) the conclusion:

III. Bottom Line

Our results on how migration leads to the size and value premiums in average returns are easily summarized. The size premium is due almost entirely to the extreme returns of small stocks that move to a big stock portfolio from one year to the next. Three factors contribute to the value premium. (i) A relatively large fraction of value stocks improve in type (Plus transitions, with high returns), while few growth stocks do. (ii) A relatively large fraction of growth stocks deteriorate in type (Minus transitions, with low returns), while few value stocks do. (iii) Value stocks that remain in the same portfolio from one year to the next have higher average returns than the matching (small or big) growth stocks.


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