basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors … benchmark models in finance; (iii) global small-stock value and momentum components are priced but regional models lead to more …

We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive … returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the … momentum-sorted portfolios entirely but not the reverse. Thus, momentum can be considered an imperfect proxy for acceleration …

We test the hypothesis that low visibility shocks to text-based network industry peers can explain industry momentum … common SIC codes. Shocks to less visible peers generate economically large momentum profits, and are stronger than own …-firm momentum variables. More visible traditional SIC-based peers generate only small, short-lived momentum profits. Our findings …