We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as … merely a substitute for size, value, and/or momentum. Finally, we show that liquidity has historically been a relatively … investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover …

In this paper we propose Generalized Momentum Asset Allocation Model (GMAA). GMAA is a new approach to construct …

the largest and the least excess volatility, under all the situations we have examined. Size, value, and momentum effects … cannot explain our empirical results. Likewise they cannot be explained by liquidity, bid-ask bounce, and risk …

empirically explain the size, value, and momentum anomalies, but they are generally inconsistent with the ICAPM. …

momentum behavior, India, China and South Korea exhibit contrarian patterns for long-term prior return (24-60 months) as well …

Novy-Marx (2010) finds that momentum is primarily driven by stock performance twelve to seven months prior to portfolio … whether intermediate horizon past performance is more dominant than 52-week high momentum strategy and recent past performance … 52-week high momentum effects are prevalent in international markets. The intermediate horizon past performance during …

We examine the role of shorting, firm size, and time on the profitability of size, value, and momentum strategies. We … find that long positions make up almost all of size, 60% of value, and half of momentum profits. Shorting becomes less … important for momentum and more important for value as firm size decreases. The value premium decreases with firm size and is …

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 …