Does Market Risk Really Explain the Size Effect?
批判性地评估了近期论文中声称精确估计的贝塔值能解释基于规模的投资组合预期收益的横截面差异，发现当构建投资组合使规模与贝塔相关性较小时，贝塔几乎无法解释收益差异。
This paper critically evaluates the claim in recent papers that precisely estimated betas explain the cross-sectional differences in expected returns across size-based portfolios. In these studies, the correlations between firm size and betas across the test portfolios are close to one in magnitude, yielding potentially spurious inferences. This paper shows that when the test portfolios are constructed so that the correlations between firm size and beta are small, the betas explain virtually none of the cross-sectional differences in portfolio returns.