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Idiosyncratic information and the cost of equity capital : a meta-analytic review of the literature
Schreder, Max - In: Journal of accounting literature : the official journal … 41 (2018), pp. 142-172
Persistent link: https://www.econbiz.de/10012030539
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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - 2011
Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier … significant positive value premium and a significant positive momentum premium. Second, the correlation within all four risk …
Persistent link: https://www.econbiz.de/10010307494
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Common Risk Factors and the Macroeconomy: New Evidence from the Japanese Stock Market
Bretschger, Lucas; Lechthaler, Filippo - 2012
momentum strategy. The Japanese case illustrates the necessity of considering structural instability related to the …
Persistent link: https://www.econbiz.de/10011753224
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The smallest stocks are not just smaller: global evidence
de Moor, Lieven L.; Sercu, Piet - Solvay Brussels School of Economics and Management, … - 2015
Using an international Thomson Reuters Datastream database, where size coverage is unusually wide and data errors have been reduced to a low level, we show that some specification decisions, and especially those related to size, may have a significant impact on asset-pricing test results. We...
Persistent link: https://www.econbiz.de/10011163399
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Market proxies as factors in linear asset pricing models: Still living with the roll critique
Prono, Todd - In: Journal of Empirical Finance 31 (2015) C, pp. 36-53
proposed measure is used in pricing portfolios reflecting the size, value, and momentum premia. The conditional CAPM of … is discovered that winner stocks in a momentum portfolio may have higher market betas than loser stocks. …
Persistent link: https://www.econbiz.de/10011263473
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Size, Book to Market and Momentum Effects in the Australian Stock Market
Kassimatis, Konstantinos - In: Australian Journal of Management 33 (2008) 1, pp. 145-168
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 …
Persistent link: https://www.econbiz.de/10010769444
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Cross-sectional predictability of stock returns, evidence from the 19th century Brussels Stock Exchange (1873–1914)
Annaert, Jan; Mensah, Lord - In: Explorations in Economic History 52 (2014) C, pp. 22-43
market beta, size, momentum, dividend yield and total risk on the cross-section of stock returns. Based on portfolio sorts …. Momentum is strongly present in the entire data set as well as in subsamples based on size. We also find evidence for a weak …
Persistent link: https://www.econbiz.de/10011042812
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Long-term Prior Return Patterns in Stock Returns: Evidence from Emerging Markets
Sehgal, Sanjay; Jain, Sakshi; Morandiere, Pr Laurence … - In: The International Journal of Business and Finance Research 7 (2013) 2, pp. 53-78
momentum behavior, India, China and South Korea exhibit contrarian patterns for long-term prior return (24-60 months) as well …
Persistent link: https://www.econbiz.de/10011143924
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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - Fakultät für Wirtschaftswissenschaften, Technische … - 2011
Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier … significant positive value premium and a significant positive momentum premium. Second, the correlation within all four risk …
Persistent link: https://www.econbiz.de/10009372405
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The smallest stocks are not just smaller: US and international evidence
De Moor, Lieven; Sercu, Piet - Faculteit Economie en Bedrijfswetenschappen, … - 2011
Using an international Thomson Reuters Datastream database where size coverage is unusually wide and data errors have been reduced to a low level, we show that some specification decisions, and especially those related to size, may have a significant impact on asset pricing test results. We also...
Persistent link: https://www.econbiz.de/10009415885