What Drives the Size and Value Factors?
نویسندگان
چکیده
Abstract I find that approximately 30% of price fluctuations in the Fama-French size and value factors are nonfundamental pressures driven by correlated fund flows, which generate movements revert over time. Is this really demand-based pressure? show effects happen exclusively periods when mutual funds place trades, a fact is difficult to explain using traditional mechanisms such as unobserved investor preference changes. The estimated elasticity also consistent with other studies. Overall, my findings sizable fraction factor do not represent economic risk. (JEL G10, G12, G23, G40)
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ژورنال
عنوان ژورنال: The Review of Asset Pricing Studies
سال: 2022
ISSN: ['2045-9939', '2045-9920']
DOI: https://doi.org/10.1093/rapstu/raac016