We study the link between the profitability of momentum strategies and firm size, drawing on an extensive dataset … covering 14 stock markets across the globe. International momentum profitability is markedly higher in medium-size than in big … stocks. Momentum premia are considerably diminished by trading costs, when taking into account the actual portfolio turnover …

kind of costs, the so-called transaction costs. The paper is centered around two issues: (a) are the basic assumptions … behind the theoretical model of the perfectly free market met in the deregulated subsectors? and (b) do the transaction costs … theoretical model are met in the electricity sector, and there are strong indications that these transaction costs might be …