Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2013-11-07
Number: 13-180/IV/DSF66
Author-Name: Victoria Atanasov
Author-Workplace-Name: VU University Amsterdam
Author-Name: Thomas Nitschka
Author-Workplace-Name: Swiss National Bank, Switzerland
Title: The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns
Abstract: 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 portfolios of stocks; (ii) size-effect models substantially outperform benchmark models in finance; (iii) global small-stock value and momentum components are priced but regional models lead to more accurate asset evaluations; (iv) funding liquidity risk is a partial explanation of these findings.
Classification-JEL: G11, G12
Keywords: international stock returns, size, value, momentum
File-Url: https://papers.tinbergen.nl/13180.pdf
File-Format: application/pdf
File-Size: 532964 bytes
Handle: RePEc:tin:wpaper:20130180