, profitability, asset growth and accruals anomalies is primarily attributable to micro-cap stocks. Momentum and asset growth predict … the expected returns of big stocks, but momentum does not predict the returns on micro stocks, and asset growth does not …

We examine the significance of the size, book-to-market and momentum risk factors in explaining portfolio returns in … significance of the three additional factors becomes marginal, which suggests that size, book-to-market and momentum may proxy for …

Prior evidence concerning momentum in Australian equity returns has produced inconsistent results. This study examines … the interaction between momentum and firm size. Specifically, we report that momentum returns are significant only for … larger portfolios, and that this finding explains the inconsistent results of prior research. We demonstrate that momentum is …