On The Robustness of Size and Book‐to‐Market in Cross‐Sectional Regressions
使用稳健回归估计量分析规模和账面市值比的风险溢价，发现剔除每月最极端的1%观测值后，规模溢价完全消失，且Fama-French的负系数可由16个极端月份解释。
ABSTRACT We use a robust regression estimator to analyze the risk premia on size and book‐to‐market. We find that the risk premium on size that was estimated by Fama and French (1992) completely disappears when the 1 percent most extreme observations are trimmed each month. We also show that the negative average of the monthly size coefficients reported by Fama and French can be entirely explained by the 16 months with the most extreme coefficients. We argue that further investigation of these results could lead to an understanding of the economic forces underlying the size effect, and may also yield important insights into how firms grow.