basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors … capture patterns in returns on regional and global portfolios of stocks; (ii) size-effect models substantially outperform … benchmark models in finance; (iii) global small-stock value and momentum components are priced but regional models lead to more …

. CAPM, Mean-Variance Portfolio Optimization, Constrained Optimization, Fama-French, Value-Size Portfolios, Dynamical …

the capital asset pricing model (CAPM). Enhanced accuracy of expected asset-return, in turn, may lead to more accurate …

to explain the size, value, and momentum anomalies. We further show that high-frequency betas provide more accurate …When using high-frequency data, the conditional CAPM can explain asset-pricing anomalies. Using conditional betas based … on daily data, the model works reasonably well for a recent sample period. However, it fails to explain the size anomaly …

We estimate conditional multifactor models over a large cross-section of stock returns matching 25 CAPM anomalies … (2015, HXZ) and Fama and French (2015, 2016, FF) models. The largest increase in performance holds for momentum, investment … dominates FF in explaining momentum and profitability anomalies, while the converse holds for value-growth anomalies. Thus, the …