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

momentum risk factor (as existing work has suggested), but also the widely-used U.S. size and value risk factors. We then build … novel pan-European and country-specific momentum, size, and value risk factors. By comparing our pan-European market returns …

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

returns results in elevated momentum profits. We show that such strategies enhance momentum profits simply by trading in … stocks with more extreme past returns. Adjusted for this effect, elevated momentum profits resulting from characteristics … (size, R², turnover, age, analyst coverage, analyst forecast dispersion, market-to-book, price, illiquidity, credit rating …

Models based on factors such as size, value, or momentum are ubiquitous in asset pricing. Therefore, portfolio …

extremely rapid execution of trades might seem to be a standard based on media reports. Our findings on intraday momentum of …