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 …

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 …-quality systematic risk factors from these data. This paper first documents that appropriately screened data from Thomson Reuters …

basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors …We document a consistent and robust relation between expected equity premia and common risk factors constructed on the … capture patterns in returns on regional and global portfolios of stocks; (ii) size-effect models substantially outperform …

insignifikant (positive) Marktrisikoprämie, eine signifikant negative Größenprämie (Size Premium), eine signifikant positive … Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier … factors of standard multi-factor models. Based on the returns of all stocks listed in the German composite index CDAX (all …

Using new data on returns and risk factors the paper considers the stock performance on the Japanese market, which is … relation between stock returns and risk factors is affected by macroeconomic conditions, especially when considering the … momentum strategy. The Japanese case illustrates the necessity of considering structural instability related to the …

Fama–French–Carhart factors, and has the strongest stand-alone performance among all these factors. Our findings are robust …

significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price … factors to predict Swedish stock returns. We consider the sensitivity of an asset returns to the variation in market returns … stock returns. We conclude that none of these factors is clearly significant for explaining stock returns at the Stockholm …

a variable that account for momentum effect. These factors are used as benchmarks to investigate the investment style … mutual funds from July 2000 to December 2009. To do so, it employs the 4-factors model with explanatory variables the market …