Prior evidence concerning momentum in Australian equity returns has produced inconsistent results. This study examines … the interaction between momentum and firm size. Specifically, we report that momentum returns are significant only for … larger portfolios, and that this finding explains the inconsistent results of prior research. We demonstrate that momentum is …

assets. To illustrate the method we use it to evaluate the size, value and momentum anomalies …

of the average portfolio returns of distressed firms. The cross-sectional role of momentum in the market mispricing of …. Also, contrary to the existing empirical evidence, momentum does not proxy for distress risk. Furthermore, in the cross …-sectional analysis, momentum subsumes the effect of size risk, and book-to-market acts as an independent state variable. Research …

We examine the significance of the size, book-to-market and momentum risk factors in explaining portfolio returns in … significance of the three additional factors becomes marginal, which suggests that size, book-to-market and momentum may proxy for …