explaining the returns of 25 size and book-to-market portfolios but explain the return of momentum portfolios very well. A three …-factor model in jointly explaining the returns on 25 size/book-to-market portfolios, 10 momentum portfolios and 30 industry … asset returns. We find that the leading GDP components perform well in explaining the returns of 25 size and book …

-sorted. We use this data set to perform asset-pricing tests for the german equity market. We test the standard cAPM, the Fama …

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 …

. Using our new method, we examine the performance of the conditional CAPM and the conditional Fama–French three-factor model … in explaining the return variations of portfolios sorted by size, book-to-market ratios, and past returns, for which … the conditional CAPM, both models fail to explain well-known asset-pricing anomalies. Moreover, for both models, the …

momentum factor) as well as returns of portfolios which are single- and double-sorted according to market beta, size, book … available to all researchers. It comprises factor returns (a market factor, a size factor, a book-to-market factor, and a …-to-market, and momentum. Second, we use this data set to perform asset pricing tests for the German equity market. Specifically, we …

of illiquidity and transaction costs on value, size and momentum premiums in 11 CEE stock markets (Bulgaria, Croatia … find very high value and size premiums and strong synergy effects between value and momentum strategies. However, the …, only the value premium survives. The size and momentum effects get obliterated. …

We show that book-to-market, size, and momentum capture cross-sectional variation in exposures to a broad set of … interest rates, and the exchange rate. Factor mimicking portfolios constructed on the basis of book-to-market, size, and … momentum therefore serve as proxy composite macroeconomic risk factors. Conditional and unconditional cross-sectional asset …

the second largest in the world and operates under unique macroeconomic conditions. We find that the CAPM model is not an … momentum strategy. The Japanese case illustrates the necessity of considering structural instability related to the …