Javascript verkar inte påslaget? - Vissa delar av Lunds universitets webbplats fungerar inte optimalt utan javascript, kontrollera din webbläsares inställningar.
Du är här

Book-to-Market and Size Effect: Compensations for risks or outcomes of market inefficiencies

Publiceringsår: 2010
Språk: Engelska
Sidor: 119-136
Publikation/Tidskrift/Serie: European Journal of Finance
Volym: 16
Nummer: 2
Dokumenttyp: Artikel i tidskrift
Förlag: Taylor & Francis


We employ the optimal orthogonal portfolio approach to investigate if the size and book-to-market effects in US data are related to risk factors beside the market risk. This method enables us to estimate the upper limit of the risk premium, due to observed as well as all possible unobserved factors, which can be derived from a linear asset pricing model. As a corollary, it is possible to divide the observed average asset return into three parts: one explained by the market factor, one due to the unobserved factors, and finally the non-risk-based (NRB) component. Our empirical results confirm the existence of latent risk factors, which cannot be captured by the market index. In particular, the size effect is related to some other background risk factors than the market portfolio, but a large part of observed book-to-market effect has a NRB explanation.


  • Economics and Business
  • Economics
  • asset pricing
  • orthogonal portfolio
  • CAPM anomalies
  • size effect
  • value
  • effect


  • ISSN: 1466-4364

Box 117, 221 00 LUND
Telefon 046-222 00 00 (växel)
Telefax 046-222 47 20
lu [at] lu [dot] se

Fakturaadress: Box 188, 221 00 LUND
Organisationsnummer: 202100-3211
Om webbplatsen