This paper tests the performance of the Capital Asset Pricing Model (CAPM) and the Fama-French three-factor and Carhart … 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 …

this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity …

The aim of this paper is to investigate the momentum effect in country-level anomalies in global equity markets. By …

basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors … benchmark models in finance; (iii) global small-stock value and momentum components are priced but regional models lead to more …

In this paper we investigate sources and characteristics of value, size and momentum profits on the Polish stock market …, momentum, and size premiums. Second, we analyzemthe interdependences among the factors. Third, we investigate whether the … value, momentum, and size premiums are to some extent present on the Polish market. Furthermore, they strengthen each other …