Timing the Size Risk Premia

Serge Darolles, Gaelle Le Fol and Gulten Mero

Finance, 2022, vol. 43, issue 2, 111-158

Abstract: C58, G11, G12

Keywords: size effect; factor investing; market timing; endogenous risk premia cycles; Markov-Regime-Switching factor models (search for similar items in EconPapers)
Date: 2022
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Related works:
Working Paper: Timing the Size Risk Premia (2022)
Working Paper: Timing the size risk premium (2019)
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