00Thaler_FM i-xxvi.qxd

postformation factor loadings. In table 9.5, we report the results of regress- ing the postformationexcess returns for each of t ...

portfolio 5 it is −0.24 percent/month. The difference is −0.26 percent/ month. Recall that table 9.3 shows that the difference i ...

size groupings, invests one dollar in each of the factor-loading portfolios 1 and 2 and sells one dollar of each of factor-loadi ...

CHARACTERISTICS AND RETURNS 341 Table 9.7 Time-Series Regressions—Predicted SMB Factor Loading-Sorted Portfolios The upper two p ...

coefficients on the SMB factor, and the associated t-statistics, for the regres- sions of these nine portfolios on the three fac ...

CHARACTERISTICS AND RETURNS 343 Table 9.8 Time-Series Regressions—Predicted Mkt Factor Loading-Sorted Portfolios The upper two p ...

provide evidence against Model 3, and in support of the factor model. Strikingly, the mean return of this portfolio is positive, ...

factor portfolios.) If this were the case, and if in addition there was a liq- uidity premium, then one might expect that the lo ...

not due to either momentum or liquidity. Indeed, the portfolios with the lowest factor loadings seem to have the highest turnove ...

with small and high B/M stocks beyond the extent to which they act as proxies for these characteristics. Further, our results sh ...

only the Fama and French portfolios but also the more efficient portfolios of Cohen and Polk, and Frankel and Lee. In other word ...

sort. However, we think it is quite plausible that investors in the 1960s and 1970s, with limited ability to access and manipula ...

Appendix Construction of the Portfolios The construction of the B/M and size portfolios follows Fama and French (1993). Using th ...

References Amihud, Yakov, and Haim Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics17, 223– ...

Jegadeesh, Narasimhan, 1992, Does market risk really explain the size effect? Jour- nal of Financial and Quantitative Analysis27 ...

PART III Empirical Studies of Overreaction and Underreaction ...

...

Chapter 8 CONTRARIAN INVESTMENT, EXTRAPOLATION, AND RISK Josef Lakonishok, Andrei Shleifer, and Robert W. Vishny For many years, ...

Japan. Certain types of value strategies, then, appear to have beaten the market. While there is some agreement that value strat ...

is measured using information on past growth in sales, earnings, and cash flow, and expected performance is measured by multiple ...