| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10804 |
| DP10804 Size and Momentum Profitability in International Stock Markets | |
| Alexander F. Wagner; Paul Schrimpf | |
| 发表日期 | 2015-09-06 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We study the link between the profitability of momentum strategies and firm size, drawing on an extensive dataset covering 23 stock markets across the globe. We first present evidence of an ?extreme? size premium in a large number of countries. These size premia, however, are most likely not realizable due to low stock market depth. We also show that international momentum profitability declines sharply with market capitalization. Momentum premiums are also considerably diminished by trading costs, when taking into account the actual portfolio turnover incurred when implementing this strategy. In contrast to strategies based on size, we find that momentum premia especially for medium-sized stocks still remain economically and statistically significant in most equity markets worldwide after adjusting for transaction costs. |
| 主题 | Financial Economics |
| 关键词 | International equity markets Momentum Size Asset pricing anomalies Transaction costs |
| URL | https://cepr.org/publications/dp10804 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539634 |
| 推荐引用方式 GB/T 7714 | Alexander F. Wagner,Paul Schrimpf. DP10804 Size and Momentum Profitability in International Stock Markets. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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