explaining the returns of 25 size and book-to-market portfolios but explain the return of momentum portfolios very well. A three …-factor model in jointly explaining the returns on 25 size/book-to-market portfolios, 10 momentum portfolios and 30 industry … asset returns. We find that the leading GDP components perform well in explaining the returns of 25 size and book …

explaining the returns of 25 size and book-to-market portfolios but explain the return of momentum portfolios very well. A three …-factor model in jointly explaining the returns on 25 size/book-to-market portfolios, 10 momentum portfolios and 30 industry … asset returns. We find that the leading GDP components perform well in explaining the returns of 25 size and book …

sector seems to have the majority of the style-based risk factors as the SMB is positively significant at a 5% level, the HML … factors. These findings highlight the necessity for investors to determine which investment risk elements produce abnormal …