Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/87572
Authors: 
Atanasov, Victoria
Nitschka, Thomas
Year of Publication: 
2013
Series/Report no.: 
Tinbergen Institute Discussion Paper 13-180/IV/DSF66
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.
Subjects: 
international stock returns
size
value
momentum
JEL: 
G11
G12
Document Type: 
Working Paper

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