(Taylor and Francis, 2006) Auret, CJ; Sinclaire, RA
Many firm-specific attributes or characteristics are
understood to be proxies for what Fama and French
(1992: p428) refer to as “the unnamed sources of risk”.
Perhaps the most notorious of these is the size of the
firm or its market value, first documented by Banz
(1981). The relationship between size and average
returns has become known as the “size effect”.
