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Small Firm Factor: Riskiness Evaluation Under A High-Frequency Regime

Author

Listed:
  • Rogerio Batista Adelino
  • Leonardo Fernando Cruz Basso
  • Eli Hadad Jr.

Abstract

Since the advent of multifactor models, the identification of factors that could lead to abnormal returns and their portfolio implications has been the theme of consistent effort and study. Among these factors, the small-cap factor (SMB factor) is one of crucial importance. This paper provides an innovative approach to the evaluation of the SMB factor taking into consideration the time-series comparison of small and large caps under a high-frequency regime, identifying structural differences in terms of stochasticity and presence of jumps. The empirical results confirm the specificity of small caps, understood therefore as a diversifying asset class. Additionally, results fail to confirm abnormal returns in the sample, indicating that factor momentum shall be considered. Moreover, the paper demonstrates a framework for high-frequency statistics usage in investment evaluation.

Suggested Citation

  • Rogerio Batista Adelino & Leonardo Fernando Cruz Basso & Eli Hadad Jr., 2025. "Small Firm Factor: Riskiness Evaluation Under A High-Frequency Regime," International Journal of Business Administration, International Journal of Business Administration, Sciedu Press, vol. 16(1), pages 1-15, March.
    • Handle: RePEc:jfr:ijba11:v:16:y:2025:i:1:p:1-15
    DOI: 10.5430/ijba.v16n1p1
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    References listed on IDEAS

    as
    1. Robert F. Engle, 2000. "The Econometrics of Ultra-High Frequency Data," Econometrica, Econometric Society, vol. 68(1), pages 1-22, January.
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