Portfolio Overlapping Bias in Tests of the Fama and French Three-Factor Model
A 2012 paper by Wallmeier and Tauscher on the size premium in equities, using a linear factor model: the abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“We find that the overlapping bias is non-negligible, contrary to what seems to be general opinion.”
AssetEquities
StrategySize premiumvalue investing
TechniqueLinear factor model
GeographyEurope
Also stated: Fundamentals
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodSize premium by year
FamilySize premium22Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 980
AssetEquities18
AuthorsWallmeier, Tauscher1
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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