Firm Size, Book-to-Market Ratio, and Security Returns: A Holdout Sample of Financial Firms
检验了Fama和French（1992）发现的规模效应和账面市值比效应在金融企业中是否同样成立，发现结果与非金融企业类似，且生存偏差和选择偏差不能解释这些模式。
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.