of firm returns, (2) different models, i.e. Capital Asset-Pricing Model (CAPM) versus the Fama and French model and (3 …) time-varying factor risk loadings. We find that β-sorting improves the performance of the CAPM, while portfolios built …-factor model turns out to be superior to the CAPM, both statistically and economically. Applying a quantile regression …

It is argued that the CAPM and its variants and extensions are theoretically invalid, empirically unsupported and …

proposed measure is used in pricing portfolios reflecting the size, value, and momentum premia. The conditional CAPM of … Jagannathan and Wang (1996) is found to best the performance of both the simple CAPM and the ICAPM of Petkova (2006). Moreover, it … is discovered that winner stocks in a momentum portfolio may have higher market betas than loser stocks. …

This paper investigates Australian momentum strategies and their performance stability separately employing two samples … transaction intensive strategies, non-overlapping portfolios are employed. Results show that momentum performance is not sample …

Barberis and Shleifer (2003) argue that style investing generates momentum and reversals in style and individual asset … returns. We also use comovement to identify style investing and assess its impact on momentum. High comovement momentum … portfolios have significantly higher future returns than low comovement momentum portfolios. Overall, our results suggest that …

returns even after controlling for size, book-to-market and momentum. However, our findings suggest that the liquidity factor …

default risk hypothesis, we augment the CAPM and the Fama-French model with a default factor and run system regressions of the …

, other factors such as value, momentum and contrarian still play an important role for certain portfolios. The components of …, momentum and contrarian, on the other side. …