SMB-arousal, disproportionate reactions and the size-premium

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SMB-arousal, disproportionate reactions and the size-premium

This paper examines SMB (small minus big), the mimicking portfolio in Fama and French's [Fama, E., French, K., 1993. Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3–56] three-factor asset pricing model. We do not examine whether SMB is a factor in e...

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Bibliographic Details
Main Authors:	Durand, Robert, Juricev, A., Smith, G.
Format:	Journal Article
Published:	Elsevier 2007
Subjects:	Underreaction Arousal Size-premium Overreaction
Online Access:	http://hdl.handle.net/20.500.11937/44507

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