elasticity and a momentum factor, which is psychological in nature. The model explains well the systematic risks in housing …

portfolios sorted on momentum show that the scaled ICAPM explains relatively well the dispersion in excess returns on the 30 … portfolios. The results for an alternative set of equity portfolios (25 portfolios sorted on size and momentum) show that the … scaled ICAPM prices particularly well the momentum portfolios. Moreover, the scaled ICAPM compares favorably with alternative …

momentum documented by Lee and Swaminathan (2000). Our results are also consistent with a variety of other empirically …

This paper provides new empirical evidence that price-based momentum indicator variables can enhance the ability of … horizons for particularly, small-cap stocks. Momentum variables are shown to be important in the shorter term horizons. This …

of the average portfolio returns of distressed firms. The cross-sectional role of momentum in the market mispricing of …. Also, contrary to the existing empirical evidence, momentum does not proxy for distress risk. Furthermore, in the cross …-sectional analysis, momentum subsumes the effect of size risk, and book-to-market acts as an independent state variable. Research …

Momentum returns have time-varying exposures to the three Fama and French equity risk factors. In particular factor … loadings are higher when the factor returns during the ranking period are higher. In this study we look at momentum returns … conditional nature of the time-variation in factor loadings is the best way to hedge. The hedged momentum returns are higher, less …

excess of the traditional two factors, i.e. the returns from static-slope strategy and daily momentum. Thus, its return … includes orthogonal information or excess return that standard static-slope and momentum strategies cannot explain. This …

were introduced in that period and impacted aggregate liquidity conditions. Furthermore, the returns to a momentum strategy … display a similar structural break and momentum-loading funds constitute a sizeable proportion of hedge funds that manifest a …