Size and momentum in European equity markets: empirical findings from varying beta Capital Asset Pricing Model
We use securities listed on 13 European equity markets to form size and momentum portfolios. We find limited evidence of a size premium but significant momentum returns in eight sample markets. We find that these premia may not constitute an anomaly because they are consistent with a varying-beta Capital Asset Pricing Model. We also show that systematic risk is related to the business cycle. Furthermore, the results suggest that although size and especially momentum returns are significant, it would be difficult to exploit them in the short to medium run, because they are positive and sizeable in very few years in our sample. Copyright (c) The Authors. Journal compilation (c) 2009 AFAANZ.
Year of publication: |
2010
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Authors: | Karathanasis, George ; Kassimatis, Konstantinos ; Spyrou, Spyros |
Published in: |
Accounting and Finance. - Accounting and Finance Association of Australia and New Zealand - AFAANZ, ISSN 0810-5391. - Vol. 50.2010, 1, p. 143-169
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Publisher: |
Accounting and Finance Association of Australia and New Zealand - AFAANZ |
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