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. …

reports of the ‘death of beta’ from the mainstream finance literature, (iii) the capital markets’ one-year momentum measure …

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 …

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 …

(GMM). We find that the market premium and the size premium for stocks are confirmed for a domestic Italian investor. On … momentum factor may at least partially improve its performance. …