What are the Size and Max effects? i.e., do these effects exist? 2. Robustness: Do they exist
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Question:
What are the Size and Max effects? i.e., do these effects exist?
2. Robustness: Do they exist in different markets, and different periods?
3. Explanations: What do researchers say are the reasons for these effects to exist?
4. Implications to Researchers and Practitioners: If the effects are driven by systematic risks, the strategies will not deliver positive alphas (i.e., positive abnormal returns). They are just fair games. If they are driven by mispricing, opportunity to deliver alphas for my clients!
Related Book For
Applied Physics
ISBN: 978-0132109277
10th Edition
Authors: Dale ewen, Neill schurter, P. erik gundersen
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