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The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns
Atanasov, Victoria; Nitschka, Thomas - 2013
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 portfolios of stocks; (ii) size-effect models substantially outperform … benchmark models in finance; (iii) global small-stock value and momentum components are priced but regional models lead to more …
Persistent link: https://www.econbiz.de/10010326554
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The Volatility Effect in China
Blitz, David; Hanauer, Matthias X.; van Vliet, Pim - In: Journal of Asset Management 22 (2021) 5, pp. 338-349
This paper shows that low-risk stocks significantly outperform high-risk stocks in the local China A-share market. The main driver of this low-risk anomaly is volatility, and not beta. A Fama–French style VOL factor is not explained by the Fama–French–Carhart factors, and has the strongest...
Persistent link: https://www.econbiz.de/10014501953
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The size effect in value and momentum factors : implications for the cross-section of international stock returns
Atanasov, Victoria; Nitschka, Thomas - 2013
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 portfolios of stocks; (ii) size-effect models substantially outperform … benchmark models in finance; (iii) global small-stock value and momentum components are priced but regional models lead to more …
Persistent link: https://www.econbiz.de/10010224775
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On survivor stocks in the S&P 500 stock index
Grobys, Klaus - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-24
conservatively. Surprisingly, survivor stocks tend to be loser stocks with negative exposure to the momentum factor. Further analyses …
Persistent link: https://www.econbiz.de/10013201398
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On survivor stocks in the S&P 500 stock index
Grobys, Klaus - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-24
conservatively. Surprisingly, survivor stocks tend to be loser stocks with negative exposure to the momentum factor. Further analyses …
Persistent link: https://www.econbiz.de/10012888297
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Reits' Growth Options and Asset Pricing Dynamics across Time
Tan, Cheng Wee; Tirtiroglu, Dogan; Tirtiroglu, Ercan - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2013
reports of the ‘death of beta’ from the mainstream finance literature, (iii) the capital markets’ one-year momentum measure …
Persistent link: https://www.econbiz.de/10010608023
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THE MOMENTUM EFFECT IN THE CHILEAN STOCK MARKET
ESPINOZA, NICOLÁS; ESPINOZA, TOMÁS - In: Abante 12 (2014) 1, pp. 1-32
The Momentum effect is a capital market puzzle. International evidence has found anomalies that market efficiency …-based explanations have been so far unable to explain. If it is pervasive, the Momentum effect should be present in the Chilean market as … presence of the momentum effect. Ignoring transaction costs, trading strategies consisting of buying past winners and selling …
Persistent link: https://www.econbiz.de/10010786565
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Market proxies as factors in linear asset pricing models: Still living with the roll critique
Prono, Todd - In: Journal of Empirical Finance 31 (2015) C, pp. 36-53
proposed measure is used in pricing portfolios reflecting the size, value, and momentum premia. The conditional CAPM of … is discovered that winner stocks in a momentum portfolio may have higher market betas than loser stocks. …
Persistent link: https://www.econbiz.de/10011263473
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Reits' Growth Options and Asset Pricing Dynamics across Time
Tan, Cheng Wee; Tirtiroglu, Dogan; Tirtiroglu, Ercan - 2013
reports of the 'death of beta' from the mainstream finance literature, (iii) the capital markets' one-year momentum measure …
Persistent link: https://www.econbiz.de/10010500235
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Momentum and Turnover: Evidence from the German Stock Market
Glaser, Markus; Weber, Martin - In: Schmalenbach Business Review (sbr) 55 (2003) 2, pp. 108-135
This paper analyzes the relation between momentum strategies (strategies that buy stocks with high returns over the … divided by the number of shares outstanding) for the German stock market. Our main finding is that momentum strategies are … seasonality, and control for size-, book-to-market-, and industry-effects. We argue that our results are useful to empirically …
Persistent link: https://www.econbiz.de/10005736937