O'Brien, Michael A.; Brailsford, Tim; Gaunt, Clive - In: Accounting and Finance 50 (2010) 1, pp. 197-219
This study seeks to disentangle the effects of size, book-to-market and momentum on returns. Initial results show that each characteristic has a role in explaining returns, but that there is interaction between size and momentum, as well as between size and book-to-market. Three key findings...