Decomposition of Risk for Small Size and Low Book-to-market Stocks
“We further find that cash flow-based proxies of distress risk generate the highest abnormal returns, followed by analyst coverage and net income.”
AssetEquities
StrategyValue investing
TechniqueLinear factor model
GeographyEurope
Also stated: Alpha, t-statistic, Fundamentals
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
Institutional-grade audit of this strategy.
£5 — Request the audit- Audit of the paper claims accounting for costs, luck, crises, originality, geography, etc.
- Reproduction code integratable into Bloomberg, IBKR, etc.
- Bias-free datasets for backtesting included
- Delivered in 2 working days
The paper's neighbourhoodValue investing by year
FamilyValue investing106Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 896
AssetEquities89
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| Testing Fama-French Factors in a Thin Market: Evidence from NGX-Listed Banks by Agbroko | 2026 | ||||
| What Do Factor Models Really Price in the Tails? A Noise-Corrected Quantile Reassessment of the Fama-French Five-Factor Model by Wang | 2026 | ||||
| Growth Value Two-Factor Model by Yeh and Hsu | 2025 | ||||
| RIM-Based Value Premium and Factor Pricing Using Value-Price Divergence by Cong et al. | 2023 | ||||
| Duration Premium and Term Structure of Equity Returns by Yang and Tamaki | 2022 |