Forecasting the Size Premium Over Different Horizons

Valeri Zakamouline

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SSRN Electronic Journal

Article . 2011 . Peer-reviewed

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https://dx.doi.org/10.2139/ssr...

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Forecasting the Size Premium Over Different Horizons

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2011 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Valeri Zakamouline;

doi: 10.2139/ssrn.1951931

Forecasting the Size Premium Over Different Horizons

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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.

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University of Agder
Norway

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