Citation

Discussion Paper Details

Please find the details for DP10804 in an easy to copy and paste format below:

Full Details   |   Bibliographic Reference

Full Details

Title: Size and Momentum Profitability in International Stock Markets

Author(s): Peter S. Schmidt, Andreas Schrimpf, Urs von Arx, Alexander F Wagner and Andreas Ziegler

Publication Date: September 2015

Keyword(s): asset pricing anomalies, international equity markets, momentum, size and transaction costs

Programme Area(s): Financial Economics

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.

For full details and related downloads, please visit: https://cepr.org/active/publications/discussion_papers/dp.php?dpno=10804

Bibliographic Reference

Schmidt, P, Schrimpf, A, von Arx, U, Wagner, A and Ziegler, A. 2015. 'Size and Momentum Profitability in International Stock Markets'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=10804