Forecasting the size premium over different time horizons

Valeriy Zakamulin

Journal of Banking & Finance, 2013, vol. 37, issue 3, 1061-1072

Abstract: In this paper, we provide evidence that the small stock premium is predictable both in-sample and out-of-sample through the use of a set of lagged macroeconomic variables. We find that it is possible to forecast the size premium over time horizons that range from one month to one year. We demonstrate that the predictability of the size premium allows a portfolio manager to generate an economically and statistically significant active alpha.

Keywords: Size effect; Size premium; Stock return predictability; Active alpha (search for similar items in EconPapers)
JEL-codes: C13 G12 G17 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:3:p:1061-1072

DOI: 10.1016/j.jbankfin.2012.11.006

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