basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors …We document a consistent and robust relation between expected equity premia and common risk factors constructed on the … capture patterns in returns on regional and global portfolios of stocks; (ii) size-effect models substantially outperform …

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 …-quality systematic risk factors from these data. This paper first documents that appropriately screened data from Thomson Reuters …