The Size Premium in Equity Markets: Where Is the Risk?

Stefano Ciliberti; Emmanuel Sérié; Guillaume Simon; Yves Lempérière; Jean-Philippe Bouchaud

doi:10.3905/jpm.2019.1.086

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The Size Premium in Equity Markets: Where Is the Risk?

Stefano Ciliberti, Emmanuel Sérié, Guillaume Simon, Yves Lempérière and Jean-Philippe Bouchaud

The Journal of Portfolio Management July 2019, jpm.2019.1.086; DOI: https://doi.org/10.3905/jpm.2019.1.086

Stefano Ciliberti

is co-head of alternative beta strategies at CFM in Paris, France

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Emmanuel Sérié

is a senior research advisor at CFM in Paris, France

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Guillaume Simon

is a research manager at CFM in Paris, France

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Yves Lempérière

is co-head of alpha strategies at CFM in Paris, France

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Jean-Philippe Bouchaud

is chairman and chief scientist of CFM in Paris, France

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The Size Premium in Equity Markets: Where Is the Risk?

Stefano Ciliberti, Emmanuel Sérié, Guillaume Simon, Yves Lempérière, Jean-Philippe Bouchaud

The Journal of Portfolio Management Jun 2019, jpm.2019.1.086; DOI: 10.3905/jpm.2019.1.086

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The Size Premium in Equity Markets: Where Is the Risk?

Stefano Ciliberti, Emmanuel Sérié, Guillaume Simon, Yves Lempérière, Jean-Philippe Bouchaud

The Journal of Portfolio Management Jun 2019, jpm.2019.1.086; DOI: 10.3905/jpm.2019.1.086

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