Dissecting Anomalies

Authors

  • EUGENE F. FAMA,

  • KENNETH R. FRENCH

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    • Eugene F. Fama is from the Graduate School of Business, University of Chicago, and Kenneth R. French is from the Amos Tuck School of Business, Dartmouth College. We acknowledge the helpful comments of John Cochrane, Wayne Ferson, Robert Stambaugh, a referee, and seminar participants at the Wharton School and the Swedish School of Economics.


ABSTRACT

The anomalous returns associated with net stock issues, accruals, and momentum are pervasive; they show up in all size groups (micro, small, and big) in cross-section regressions, and they are also strong in sorts, at least in the extremes. The asset growth and profitability anomalies are less robust. There is an asset growth anomaly in average returns on microcaps and small stocks, but it is absent for big stocks. Among profitable firms, higher profitability tends to be associated with abnormally high returns, but there is little evidence that unprofitable firms have unusually low returns.

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