{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2017:SA4I6FGLIAT75KVBPEYLBFUW64","merge_version":"pith-open-graph-merge-v1","event_count":2,"valid_event_count":2,"invalid_event_count":0,"equivocation_count":0,"current":{"canonical_record":{"metadata":{"abstract_canon_sha256":"6d160b06cd407b11ef66850ce9415ba10c3704102b23a4c5259c64be740ca85c","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2017-08-02T08:31:17Z","title_canon_sha256":"9304a57d9fc2739c74ef26e68170fd6270c31368b4dcfbce744fea66e354a55d"},"schema_version":"1.0","source":{"id":"1708.00644","kind":"arxiv","version":2}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1708.00644","created_at":"2026-05-18T00:36:49Z"},{"alias_kind":"arxiv_version","alias_value":"1708.00644v2","created_at":"2026-05-18T00:36:49Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1708.00644","created_at":"2026-05-18T00:36:49Z"},{"alias_kind":"pith_short_12","alias_value":"SA4I6FGLIAT7","created_at":"2026-05-18T12:31:43Z"},{"alias_kind":"pith_short_16","alias_value":"SA4I6FGLIAT75KVB","created_at":"2026-05-18T12:31:43Z"},{"alias_kind":"pith_short_8","alias_value":"SA4I6FGL","created_at":"2026-05-18T12:31:43Z"}],"graph_snapshots":[{"event_id":"sha256:790b80c917614d84b7927e354f1a8e3d1d30cddf683f68a496c9673e5026c9e6","target":"graph","created_at":"2026-05-18T00:36:49Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"graph_snapshot":{"author_claims":{"count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","strong_count":0},"builder_version":"pith-number-builder-2026-05-17-v1","claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"paper":{"abstract_excerpt":"We find that when measured in terms of dollar-turnover, and once $\\beta$-neutralised and Low-Vol neutralised, the Size Effect is alive and well. With a long term t-stat of $5.1$, the \"Cold-Minus-Hot\" (CMH) anomaly is certainly not less significant than other well-known factors such as Value or Quality. As compared to market-cap based SMB, CMH portfolios are much less anti-correlated to the Low-Vol anomaly. In contrast with standard risk premia, size-based portfolios are found to be virtually unskewed. In fact, the extreme risk of these portfolios is dominated by the large cap leg; small caps a","authors_text":"Emmanuel S\\'eri\\'e, Guillaume Simon, Jean-Philippe Bouchaud, Stefano Ciliberti, Yves Lemp\\'eri\\`ere","cross_cats":[],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2017-08-02T08:31:17Z","title":"The \"Size Premium\" in Equity Markets: Where is the Risk?"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1708.00644","kind":"arxiv","version":2},"verdict":{"created_at":null,"id":null,"model_set":{},"one_line_summary":"","pipeline_version":null,"pith_extraction_headline":"","strongest_claim":"","weakest_assumption":""}},"verdict_id":null}}],"author_attestations":[],"timestamp_anchors":[],"storage_attestations":[],"citation_signatures":[],"replication_records":[],"corrections":[],"mirror_hints":[],"record_created":{"event_id":"sha256:6b4e9c56891841ea011a4f964e7bdd37c43ef8fe17fc1c4dfbeb6ebfbfbf1e90","target":"record","created_at":"2026-05-18T00:36:49Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"attestation_state":"computed","canonical_record":{"metadata":{"abstract_canon_sha256":"6d160b06cd407b11ef66850ce9415ba10c3704102b23a4c5259c64be740ca85c","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2017-08-02T08:31:17Z","title_canon_sha256":"9304a57d9fc2739c74ef26e68170fd6270c31368b4dcfbce744fea66e354a55d"},"schema_version":"1.0","source":{"id":"1708.00644","kind":"arxiv","version":2}},"canonical_sha256":"90388f14cb4027feaaa17930b09696f70299f2959429b0e074df2fd95e9808fc","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"90388f14cb4027feaaa17930b09696f70299f2959429b0e074df2fd95e9808fc","first_computed_at":"2026-05-18T00:36:49.176648Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T00:36:49.176648Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"4zgtFHvA4nbL3nn2HeTX+iIub+AYPD2ApCb2MHv4V/jCGeh2V1JHUjZ3FCFZHfeD6MxhsbINg8ZOcCI3RU3bDw==","signature_status":"signed_v1","signed_at":"2026-05-18T00:36:49.177257Z","signed_message":"canonical_sha256_bytes"},"source_id":"1708.00644","source_kind":"arxiv","source_version":2}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:6b4e9c56891841ea011a4f964e7bdd37c43ef8fe17fc1c4dfbeb6ebfbfbf1e90","sha256:790b80c917614d84b7927e354f1a8e3d1d30cddf683f68a496c9673e5026c9e6"],"state_sha256":"9af953fd053ea838d4afbc7ef6e9f4361adaf87004ea9ab5f294e97a94aa86b0"}