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| Author: | Asgharian, H. Hansson, B. |
| Title: | Book-to-market and size effects: Compensations for risks or outcomes of market inefficiencies? |
| Journal: | European Journal of Finance
2010 : JAN/FEB, VOL. 16:1-2, p. 119-136 |
| Index terms: | stock markets portfolio selection asset valuation pricing markets risk CAPM models USA |
| Language: | eng |
| Abstract: | The optimal orthogonal portfolio approach is used to explore if the size and book-to-market effects in the United States (U.S.) data are related to risk factors beside the market risk. The empirical results confirm the existence of latent risk factors, which cannot be captured by the market index. Especially, the size effect is related to some other background risk factors than the market portfolio, but a large part of found book-to-market effect has a non-risk-based (NRB) explanation. |
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