-known market, size, book-to-market, momentum, and short-term reversal factors. Additional volatility, stock, and option market …

findings of the study show that Fama-French-Carhart four risk factors of market, size effect, value and momentum were …

This study examines pricing implications of size, value, illiquidity and momentum effects in Malaysian stock returns …) poorly performs in explaining average stock returns. An asset's exposure to size, value, momentum, and illiquidity … characteristics subordinates CAPM's explanatory power. Momentum trading strategy is profitable in short to intermediate horizons, yet …

This study examines pricing implications of size, value, illiquidity and momentum effects in Malaysian stock returns …) poorly performs in explaining average stock returns. An asset's exposure to size, value, momentum, and illiquidity … characteristics subordinates CAPM's explanatory power. Momentum trading strategy is profitable in short to intermediate horizons, yet …

We show that stock prices underreact when there is a political event, reflected in higher momentum returns. We … specific news. We analyze momentum returns following general election day, and find 8.8% increase in momentum portfolio return …. Our channel to identify higher momentum after elections encompasses both rational and behavioral parts. The rational part …

(2015, HXZ) and Fama and French (2015, 2016, FF) models. The largest increase in performance holds for momentum, investment … dominates FF in explaining momentum and profitability anomalies, while the converse holds for value-growth anomalies. Thus, the …

. Thus, low returns in the left-tail of the distribution persist into the future causing left-tail return momentum. We find …