of the average portfolio returns of distressed firms. The cross-sectional role of momentum in the market mispricing of …. Also, contrary to the existing empirical evidence, momentum does not proxy for distress risk. Furthermore, in the cross …-sectional analysis, momentum subsumes the effect of size risk, and book-to-market acts as an independent state variable. Research …

Prior evidence concerning momentum in Australian equity returns has produced inconsistent results. This study examines … the interaction between momentum and firm size. Specifically, we report that momentum returns are significant only for … larger portfolios, and that this finding explains the inconsistent results of prior research. We demonstrate that momentum is …

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 …

In this paper, we examine two different investing attitudes, being conservative sentiment which mitigates the momentum … close near a previous peak level, the impact of the index on momentum profits can assist in identifying such sentiments. In … this study, we investigate the price and price-size momentum strategies in Taiwan of short formation periods of less than a …

of the average portfolio returns of distressed firms. The cross-sectional role of momentum in the market mispricing of …. Also, contrary to the existing empirical evidence, momentum does not proxy for distress risk. Furthermore, in the cross …-sectional analysis, momentum subsumes the effect of size risk, and book-to-market acts as an independent state variable. Research …

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 …

assets. To illustrate the method we use it to evaluate the size, value and momentum anomalies …