Список проголосовавших за комментарий "Excess Return and Market Capitalizations.<br/> To compare the performance of portfolios formed based on size, researchers Eugene Fama and Kenneth French32 divided stocks each year into ten portfolios by ranking them based on their market capitalizations, and collecting the smallest 10% of stocks into the first portfolio, the next 10% into the second portfolio, up to the biggest 10% into the tenth portfolio. They then recorded the monthly excess returns of each decile portfolio over the following year. After repeating this process for each year, they calculated the average excess return of each portfolio and the beta of the portfolio; Figure 13.9 shows the result. As you can see, although the portfolios with higher betas yield higher returns, most portfolios plot above the security market line (SML)—all except one portfolio had a positive alpha. The smallest deciles exhibit the most extreme effect. Of course, this result could be due to estimation error; as the figure shows, the standard errors are large and none of the alpha estimates is significantly different from zero. However, nine of the ten portfolios plot above the SML. If the positive alphas were due purely to statistical error, we would expect as many portfolios to appear above the line as below it.<br/> <br/> Excess Return and Book-to-Market Ratio.<br/> Researchers have found similar results using the book-to-market ratio, the ratio of the book value of equity to the market value of equity, to form stocks into portfolios. Recall from Chapter 2 that practitioners refer to stocks with high book-to-market ratios as value stocks, and those with low book-to-market ratios as growth stocks. Figure 13.10 demonstrates that value stocks tend to have positive alphas, and growth stocks tend to have low or negative alphas. Once again, a joint test of whether all 10 portfolios have an alpha of zero is rejected."