Forecasting the size premium over different time horizons

被引：9

作者：

Zakamulin, Valeriy ^{[1
]}

机构：

[1] Univ Agder, Fac Econ & Social Sci, N-4604 Kristiansand, Norway

来源：

JOURNAL OF BANKING & FINANCE | 2013年 / 37卷 / 03期

关键词：

Size effect; Size premium; Stock return predictability; Active alpha; EXPECTED STOCK RETURNS; CROSS-SECTION; REAL ACTIVITY; PREDICTING RETURNS; EQUITY RETURNS; TERM STRUCTURE; MARKET; INFLATION; PERFORMANCE; RISK;

D O I：

10.1016/j.jbankfin.2012.11.006

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we provide evidence that the small stock premium is predictable both in-sample and out-of-sample through the use of a set of lagged macroeconomic variables. We find that it is possible to forecast the size premium over time horizons that range from one month to one year. We demonstrate that the predictability of the size premium allows a portfolio manager to generate an economically and statistically significant active alpha. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：1061 / 1072

页数：12

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