wizofoz

so if a firm is growth firm, then it return is low? (as value factor <0, reduce the risk premium)? Thanks



maratikus Wrote:
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> size factor < 0 -> large (from what I remember,
> measured in terms of stock price * num of stocks
> outstanding).
>
> value factor < 0 -> "growth" firm (defined as low
> B/M value).
>
> hard to generalize whether a mature company would
> have size factor < 0 and value factor > 0. A lot
> depends on its relative size (for size factor) and
> particularly industry (for value factor).
>
> You can directly read a paper by Fama and French
> on "Multifactor explanations of asset pricing
> anomalies" for example.