This paper examines whether five well known stock market anomalies hold consistently across firms of different sizes. The authors find that net stock issuance, accruals, and momentum are relatively pervasive, while asset growth and profitability effects depend more heavily on company size and other characteristics.
Dissecting Anomalies
Kenneth French, Eugene Fama
Research
37 Pages
Key Takeaways
Three Robust Anomalies: Net stock issues, accruals, and momentum remain significant across all 3 size groups examined: micro, small, and big stocks.
Asset Growth Varies: The asset growth anomaly appears in 2 size groups, microcaps and small stocks, but disappears among big stocks.
Profitability Is Asymmetric: Across 3 size groups, highly profitable firms show stronger abnormal returns, while unprofitable firms provide little evidence of unusually low returns.
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