1 citations · 2 across the 3 of their papers we have counts for
3 papers
The "Size Premium" in Equity Markets: Where is the Risk?
Stefano Ciliberti, Emmanuel Sérié, Guillaume Simon +2
We find that when measured in terms of dollar-turnover, and once -neutralised and Low-Vol neutralised, the Size Effect is alive and well. With a long term t-stat of , the "…
The Excess Returns of "Quality" Stocks: A Behavioral Anomaly
Jean-Philippe Bouchaud, Stefano Ciliberti, Augustin Landier +2
This note investigates the causes of the quality anomaly, which is one of the strongest and most scalable anomalies in equity markets. We explore two potential explanations. The "r…
Deconstructing the Low-Vol Anomaly
S. Ciliberti, Y. Lempérière, A. Beveratos +4
We study several aspects of the so-called low-vol and low-beta anomalies, some already documented (such as the universality of the effect over different geographical zones), others…