Testing Factor-Model Explanations of Market Anomalies
Kent Daniel · 2012 · Critical Finance Review
WASTE classifies this as Negative / Null Result Report · AI classification, approximate
The study found no significant effect — useful as a negative control or null benchmark for your own design.
Abstract (excerpt)
A set of recent papers attempts to explain the size and book-to-market anomalies with conditional CAPM or CCAPM models with economically motivated conditioning variables, or with factor models with economically motivated factors. The tests…
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Metadata source: OpenAlex · DOI 10.1561/104.00000003