This paper tests the performance of the Capital Asset Pricing Model (CAPM) and the Fama-French three-factor and Carhart … for value and momentum effects, but only weak evidence for size premium. We formed portfolios double-sorted on size and … book-to-market ratios, as well as on size and momentum, and we explain their returns with the above-mentioned asset pricing …

This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum … the USA from 1963 to 2012 reduces the momentum effect from a highly statistically significant 11.94% to an insignificant 1 ….84%. We find additional supportive out-of sample evidence for our risk-based momentum explanation in a sample of 23 …

this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity …

The aim of this paper is to investigate the momentum effect in country-level anomalies in global equity markets. By …

basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors … benchmark models in finance; (iii) global small-stock value and momentum components are priced but regional models lead to more …