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 …

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 … four major results: First, we find an insignificant (positive) market risk premium, a significant negative size premium, a …

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

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 …

), the market value of equity (size), the ratio of the market value of equity to the book value of equity, and short …-term historical stock returns (momentum). We conclude that none of these factors is clearly significant for explaining stock returns …

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. …