Firm Size, Book‐to‐Market Ratio, and Security Returns: A Holdout Sample of Financial Firms
用金融企业样本验证Fama-French(1992)的发现，证明规模与账面市值比效应在金融与非金融企业中相似，且不受幸存者偏差影响。
ABSTRACT Fama and French (1992) document a significant relation between firm size, book‐to‐market ratios, and security returns for nonfinancial firms. Because of their initial interest in leverage as an explanatory variable for security returns, Fama and French exclude from their analysis financial firms, thus creating a natural holdout sample on which to test the robustness of their results. We document that the relation between firm size, book‐to‐market ratios, and security returns is similar for financial and nonfinancial firms. In addition, we present evidence that survivorship bias does not significantly affect the estimated size or book‐to‐market premiums in returns. Our results indicate data‐snooping and selection biases do not explain the size and book‐to‐market patterns in returns.