This paper investigates time variation in the dynamics of international portfolio equity flows. We extend the empirical model of Hau and Rey (2004) by embedding a two-state Markov regime-switching model into the structural VAR. The model is estimated using monthly data, 1995-2015, on equity...

We propose and test multifactor models that break the conventional value and momentum factors on the basis of firm size and build separate factors comprised of small stocks, which we call “small-stock value and momentum factors”, and big stocks, which we call “big-stock value and momentum...

We document a consistent and robust relation between expected equity premia and common risk factors constructed on the 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...