The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns

Victoria Atanasov and Thomas Nitschka
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Victoria Atanasov: VU University Amsterdam

Tinbergen Institute Discussion Papers from Tinbergen Institute

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.

Keywords: international stock returns; size; value; momentum (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2013-11-07
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20130180

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