Understanding the Value and Size premia: What Can We Learn from Stock Migrations?
نویسندگان
چکیده
The realized size and value premia reflect earnings-induced price surprises that do not fit the rational pricing story. In addition, they seem to have little to do with systematic risks. This is because the majority of value or small firms with persistently high systematic risks are not rewarded with a premium. The premium happens, as a price adjustment, only to the subset of migrating firms when they receive earnings shocks, and only during the migration periods. In addition, the systematic risks of the migrating firms completely change after the migration. Finally, the size premium has not disappeared: excluding growth firms, the size premium is as robust as ever. JEL Classification : G12, G14
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