This paper examines the impact of market states on the profitability of momentum strategies using weekly data from the … Taiwan Stock exchange over the 10-year period 1997-2006. Market states refer to the states of market such as up or down … are positively associated with the profitability of the momentum strategies. The results are consistent with the …

the four HXZ factors, namely size, profitability, and investment, cannot be explained by the five FF factors; (4) the best … profitability factor; (5) the maximum Sharpe ratio is achieved by investing about 5% in the market factor, 20% in the value factor …, and roughly the same percentage in the size and profitability factors. The findings are consistent in the three time …

enhanced in a way that not only survives common risk adjustments but also maintains profitability after trading costs. For our …

stocks. While long-short (zero initial outlay) portfolios based on this signal usually make a profit on average, it is rarely …

Firms with lower profitability have lower expected returns because such firms perform better than expected when market … with this hypothesis, the profitability anomaly is stronger for distressed and volatile firms, and aggregate volatility …

back on work in industrial organization, we analyze the relationship between profit persistence and expected stock returns …. We show that long-run profit persistence together with other additional economic firm fundamentals have a significant …