Israel, Ronen; Moskowitz, Tobias J. - In: Journal of Financial Economics 108 (2013) 2, pp. 275-301
We examine the role of shorting, firm size, and time on the profitability of size, value, and momentum strategies. We … find that long positions make up almost all of size, 60% of value, and half of momentum profits. Shorting becomes less … important for momentum and more important for value as firm size decreases. The value premium decreases with firm size and is …