We document a consistent and robust relation between expected equity premia and common risk factors constructed on 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...

We examine whether investor sentiment can explain anomalies such as size and book-to-market in the US stock market. Differently from the literature, we test combination portfolios (portfolios formed on more than one factor such as size, book-to-market ratio, etc.) of developed markets for the...

The study investigates the characteristics of inter-country value, size and momentum premiums. We contribute to the asset-pricing literature in three ways. First, we provide fresh evidence for value, size and momentum premiums in country returns. Second, we show that these premiums are robust to...