Size and Momentum Profitability in International Stock Markets
41 Pages Posted: 21 Aug 2015 Last revised: 11 Feb 2017
Date Written: February 9, 2017
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
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