WHAT DOES βSMB > 0 REALLY MEAN?
指出，在Fama-French三因子模型中，正的SMB系数并不一定代表投资组合偏向小盘股，而是可能源于市场因子与规模因子的共存，并解释了为何大盘股也可能被归为小盘风格。
Abstract A positive SMB coefficient in a Fama–French regression is often interpreted as signaling a portfolio weighted toward small‐cap stocks. We present a very large portfolio, which has a positive SMB coefficient for all periods. We emphasize that this is associated with the coexistence of both “M”—the market—and “SMB”—the mimicking portfolio for size—in the Fama–French three‐factor model. We explain why the model can attribute small size to large‐cap stocks and portfolios. The results highlight how coefficients should be interpreted when a self‐financing portfolio is used for portfolio attribution.