Size and momentum in European equity markets: empirical findings from varying beta Capital Asset Pricing Model

被引：5

作者：

Karathanasis, George ^{[1
]}

Kassimatis, Konstantinos ^{[1
]}

Spyrou, Spyros ^{[2
]}

机构：

[1] Athens Univ Econ & Business, Dept Business Adm, GR-10434 Athens, Greece

[2] Athens Univ Econ & Business, Dept Accounting & Finance, GR-10434 Athens, Greece

来源：

ACCOUNTING AND FINANCE | 2010年 / 50卷 / 01期

关键词：

Asset pricing; Time-varying risk; Capital Asset Pricing Model; G14; G15; EXPECTED STOCK RETURNS; BOOK-TO-MARKET; BUSINESS-CYCLE; CROSS-SECTION; RISK-FACTORS; ANOMALIES; EXPLANATIONS; STRATEGIES; EFFICIENCY; INFLATION;

D O I：

10.1111/j.1467-629X.2009.00314.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We use securities listed on 13 European equity markets to form size and momentum portfolios. We find limited evidence of a size premium but significant momentum returns in eight sample markets. We find that these premia may not constitute an anomaly because they are consistent with a varying-beta Capital Asset Pricing Model. We also show that systematic risk is related to the business cycle. Furthermore, the results suggest that although size and especially momentum returns are significant, it would be difficult to exploit them in the short to medium run, because they are positive and sizeable in very few years in our sample.

引用

页码：143 / 169

页数：27