insignifikant (positive) Marktrisikoprämie, eine signifikant negative Größenprämie (Size Premium), eine signifikant positive … Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier … four major results: First, we find an insignificant (positive) market risk premium, a significant negative size premium, a …

insignifikant (positive) Marktrisikoprämie, eine signifikant negative Größenprämie (Size Premium), eine signifikant positive … Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier … four major results: First, we find an insignificant (positive) market risk premium, a significant negative size premium, a …

factor is low. (4) Increased funding liquidity risk compresses betas toward one. (5) More constrained investors hold riskier …

suffer from higher cost of capital. A one standard deviation increase in a stock's liquidity tail index leads to a rise of 30 … extreme liquidity risk and extends to alternative cost-percent liquidity proxies. We further find that this relation is …

momentum strategy. The Japanese case illustrates the necessity of considering structural instability related to the …

momentum strategy. The Japanese case illustrates the necessity of considering structural instability related to the …

momentum risk factor (as existing work has suggested), but also the widely-used U.S. size and value risk factors. We then build … novel pan-European and country-specific momentum, size, and value risk factors. By comparing our pan-European market returns …

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 …