John M. Griffin
Empirical Methods in Finance

Testing a Facto, Assignment #5

Prepare a neat and well organized report of your findings with exhibits in the back.

Find a paper published since 2005, forthcoming, or revision requested working paper (possibly a prominent working paper, check with professor) that purports to explain an anomaly with a factor of some sort. If the anomaly is the value effect (or if on the value effect, published in 2008 or later).

1. Replicate the key table of the authors results and show how close you can get.
2. Put their factors through a more rigorous evaluation according to what you have learned in your recent methodology papers. Present key result.
3. Discuss: Do the findings hold up? Are there potential limitations to your testing framework. Is it realistic?