Size and Momentum Profitability in International Stock Markets

41 Pages Posted: 21 Aug 2015 Last revised: 11 Feb 2017

See all articles by Peter Steffen Schmidt

Peter Steffen Schmidt

University of Zurich - Department of Banking and Finance; University of Geneva - Geneva Finance Research Institute (GFRI)

Urs von Arx

ETH Zürich; University of Zurich - Center für Nachhaltigkeit und unternehmerische Verantwortung (CCRS)

Andreas Schrimpf

Bank for International Settlements (BIS) - Monetary and Economic Department

Alexander F. Wagner

University of Zurich - Department of Banking and Finance; Centre for Economic Policy Research (CEPR); European Corporate Governance Institute (ECGI); Swiss Finance Institute

Andreas Ziegler

University of Kassel

Multiple version iconThere are 2 versions of this paper

Date Written: February 9, 2017

Abstract

We study the link between the profitability of momentum strategies and firm size, drawing on an extensive dataset covering 14 stock markets across the globe. International momentum profitability is markedly higher in medium-size than in big stocks. Momentum premia are considerably diminished by trading costs, when taking into account the actual portfolio turnover incurred when implementing this strategy. Thus, while small stocks exhibit momentum, exploiting this feature is hardly feasible. By contrast, momentum premia especially for medium-sized stocks still remain economically and statistically significant in most equity markets worldwide after adjusting for trading costs.

Keywords: Size; momentum; international equity markets; asset pricing anomalies; trading costs

JEL Classification: G12, G15

Suggested Citation

Schmidt, Peter Steffen and von Arx, Urs and Schrimpf, Andreas and Wagner, Alexander F. and Ziegler, Andreas, Size and Momentum Profitability in International Stock Markets (February 9, 2017). Swiss Finance Institute Research Paper No. 15-29. Available at SSRN: https://ssrn.com/abstract=2642185 or http://dx.doi.org/10.2139/ssrn.2642185

Peter Steffen Schmidt

University of Zurich - Department of Banking and Finance ( email )

Schönberggasse 1
Zürich, 8001
Switzerland

University of Geneva - Geneva Finance Research Institute (GFRI) ( email )

40 Boulevard du Pont d'Arve
Geneva 4, 1211
Switzerland

Urs Von Arx

ETH Zürich ( email )

Zürichbergstrasse 18
Zurich, 8032
Switzerland

University of Zurich - Center für Nachhaltigkeit und unternehmerische Verantwortung (CCRS) ( email )

Kuenstlergasse 15a
Zurich, 8001
Switzerland

Andreas Schrimpf

Bank for International Settlements (BIS) - Monetary and Economic Department ( email )

Centralbahnplatz 2
CH-4002 Basel
Switzerland

Alexander F. Wagner (Contact Author)

University of Zurich - Department of Banking and Finance ( email )

Plattenstrasse 14
Zürich, 8032
Switzerland
+41 44 634 3963 (Phone)

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

European Corporate Governance Institute (ECGI) ( email )

c/o ECARES ULB CP 114
B-1050 Brussels
Belgium

Swiss Finance Institute ( email )

Switzerland

HOME PAGE: http://www.alex-wagner.com

Andreas Ziegler

University of Kassel ( email )

Fachbereich 05
Nora-Platiel-Straße 1
34109 Kassel, Hessen 34127
Germany

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