Dissecting Anomalies. EUGENE KENNETH R. FRENCH. Eugene F. The asset growth and profitability anomalies are less robust. There is. By Eugene F. Fama and Kenneth French; Abstract: The anomalous returns associated with net stock issues, accruals, and momentum are. Eugene F. Fama & Kenneth R. French, “Dissecting Anomalies,” Journal of Finance, American Finance Association, vol. 63(4), pages , August.
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Dissecting Anomalies with a Five-Factor Model | The Review of Financial Studies | Oxford Academic
You do not currently have access to this article. For Permissions, please e-mail: As the access to this document is restricted, you may want to search for a different version of it. Copyright c The American Finance Association. A five-factor model that adds profitability RMW and investment CMA factors to the three-factor ddissecting of Fama and French suggests a shared story for several average-return anomalies.
Most users should sign in with their email address. The anomalous returns associated with net stock issues, accruals, and momentum are pervasive; they show up in all size groups micro, small, and big in cross-section regressions, and they are dissectingg strong in sorts, at least in the extremes. This article is also available for rental through DeepDyve. More about this item Statistics Access and download statistics Corrections All material on this site has been provided by the respective publishers and authors.
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Among profitable firms, higher profitability tends to be associated with abnormally high returns, but there is little evidence that unprofitable firms have unusually low returns.
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It also allows you to accept potential citations to this item that we are uncertain about. Abstract A five-factor model that adds dissectinf RMW and investment CMA factors to the three-factor model of Fama and French suggests a shared story for several average-return anomalies. It furthers the University’s objective of excellence in research, scholarship, and education by publishing worldwide.
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The asset growth and profitability anomalies are less robust.