Size and Momentum Profitability in International Stock Markets

Alexander Wagner, Andreas Schrimpf, Peter S. Schmidt, Urs von Arx and Andreas Ziegler

No 10804, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: 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.

Keywords: International equity markets; Momentum; Size; Asset pricing anomalies; Transaction costs (search for similar items in EconPapers)
JEL-codes: C89 G12 G15 (search for similar items in EconPapers)
Date: 2015-09
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (5)

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Working Paper: Size and Momentum Profitability in International Stock Markets (2015)
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