Are Euro Area Small Cap Stocks an Asset Class? Evidence from Mean‐Variance Spanning Tests
通过回归检验和多种方法，发现欧元区小盘和中盘股是独立的资产类别，能为投资者提供分散化收益，结果稳健且适用于不同规模分组和国际比较。
Abstract In this paper we perform regression‐based tests for mean‐variance spanning in order to detect the effect of investing in euro area small capitalisation stocks on the minimum variance frontier, and apply different measures to assess the extent of diversification gains. Empirical analysis shows that euro area small and mid cap stocks, as classified by size quartile and quintile rankings, arise as truly autonomous asset classes. This result is robust to different methodologies used to form size‐based portfolios, and holds relative to both euro area large cap stocks and other international asset classes, US small capitalisation stocks included .