expected returns and betas. The numerical results of a Monte Carlo simulation show that in the CAPM slightly inefficient … the results suggest that the CAPM's pricing error is small when slightly inefficient, positively weighted proxies are used. …

Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier … significant positive value premium and a significant positive momentum premium. Second, the correlation within all four risk …

This paper explores the profitability of portfolio-based momentum strategies. The data consists of all NYSE, AMEX, and … strong evidence of a momentum effect where an investor takes a long position on the winner portfolio and a short position on …:07 to 1981:12 and 1982:01 to 2002:12 we found that the best momentum strategy was profitable during the first period and not …

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 …

momentum risk factor (as existing work has suggested), but also the widely-used U.S. size and value risk factors. We then build … novel pan-European and country-specific momentum, size, and value risk factors. By comparing our pan-European market returns …