for value and momentum effects, but only weak evidence for size premium. We formed portfolios double-sorted on size and … book-to-market ratios, as well as on size and momentum, and we explain their returns with the above-mentioned asset pricing …, but fail to explain returns on the size and momentum sorted portfolios. With the exception of the momentum factor, local …

momentum strategy. The Japanese case illustrates the necessity of considering structural instability related to the …

momentum strategy. The Japanese case illustrates the necessity of considering structural instability related to the …

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 …

Momentum, size, and low volatility in emerging markets regularly exhibit increased correlations across factors and …