Resumen: We investigate empirically the dependence of the size effect on the top performing stocks in a cross-section of risky assets separated by industry. We propose a test for a lottery-style factor payoff based on a stochastic utility model for an under-diversified investor. The associated conditional logit model is used to rank different investment portfolios based on size and we assess the robustness of the ranking to the inclusion/exclusion of the best performing stocks in the cross-section. Our results show that the size premium has a lottery-style payoff and is spurious for most industries once we remove the single best returning stock in an industry from the sample each month. Analysis in an asset pricing framework shows that standard asset pricing models fail to correctly specify the size premium on risky assets when industry winners are excluded from the construction of the size factor. Our findings have implications for stock picking, investment management and risk factor analysis.
Idioma: Inglés
DOI: 10.1080/1351847X.2019.1644360
Año: 2021
Publicado en: EUROPEAN JOURNAL OF FINANCE 27, 1-2 (2021), 158-177
ISSN: 1351-847X
Factor impacto JCR: 1.903 (2021)
Categ. JCR: BUSINESS, FINANCE rank: 78 / 111 = 0.703 (2021) - Q3 - T3
Factor impacto CITESCORE: 3.0 - Economics, Econometrics and Finance (Q2)
Factor impacto SCIMAGO: 0.578 - Economics, Econometrics and Finance (miscellaneous) (Q1)
Tipo y forma: Article (PostPrint)
You must give appropriate credit, provide a link to the license, and indicate if changes were made. You may do so in any reasonable manner, but not in any way that suggests the licensor endorses you or your use. You may not use the material for commercial purposes.
Exportado de SIDERAL (2025-10-17-14:11:25)
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Idioma: Inglés
DOI: 10.1080/1351847X.2019.1644360
Año: 2021
Publicado en: EUROPEAN JOURNAL OF FINANCE 27, 1-2 (2021), 158-177
ISSN: 1351-847X
Factor impacto JCR: 1.903 (2021)
Categ. JCR: BUSINESS, FINANCE rank: 78 / 111 = 0.703 (2021) - Q3 - T3
Factor impacto CITESCORE: 3.0 - Economics, Econometrics and Finance (Q2)
Factor impacto SCIMAGO: 0.578 - Economics, Econometrics and Finance (miscellaneous) (Q1)
Tipo y forma: Article (PostPrint)
You must give appropriate credit, provide a link to the license, and indicate if changes were made. You may do so in any reasonable manner, but not in any way that suggests the licensor endorses you or your use. You may not use the material for commercial purposes. Exportado de SIDERAL (2025-10-17-14:11:25)
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Record created 2025-02-21, last modified 2025-10-17