basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors … capture patterns in returns on regional and global portfolios of stocks; (ii) size-effect models substantially outperform … benchmark models in finance; (iii) global small-stock value and momentum components are priced but regional models lead to more …

than the original factors and contain all the information found in the original factors. Momentum strategies profit from …-series efficient factors, such as an efficient Fama-French five-factor model, therefore prices momentum …

conservatively. Surprisingly, survivor stocks tend to be loser stocks with negative exposure to the momentum factor. Further analyses …

assets. To illustrate the method we use it to evaluate the size, value and momentum anomalies …

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …

centralization in investor networks. Consistent with the theory of investor information networks, we find that central investors …

The Capital Asset Pricing Model (CAPM) has been the backbone of asset market finance even though many academic studies … considerations in investment decisions may provide a credible explanation for some of the limitations. In effect, the CAPM is an … CAPM as a very specialized case of this model. Hence, by examining how liabilities are proxied in practice, the many tests …

material differences in the statistical and economic significance between idiosyncratic momentum strategies based on different … asset-pricing models. I also show that idiosyncratic momentum is priced in the cross-section of returns, but spanned by a … combination of risk factors when the combination includes price momentum. Despite being explained by common risk factors, the …