Interaction of Size and Momentum Effects in Jordan Firms: 2005-2014

International Review of Management and Business Research, Vol. 4, No. 1, March 2015

16 Pages Posted: 2 Nov 2015

Date Written: November 2, 2015

Abstract

This study sought to disentangle the effects of size and whether there are size and momentum effects on Jordan firm returns. Initial findings showed that size effect has important role in explaining returns. For momentum effect, while in general there is no momentum effect in Jordan firm market, the study results founds that there is a strong evidence of momentum for the large-sized portfolios at Jordan firm returns. There is interaction between size and momentum. Two key findings emerge. First, there is a strong evidence for size effect. Second, the momentum premium is only evident for the large-sized portfolios.

Keywords: Fama and French, large-sized portfolios

Suggested Citation

Gharaibeh, Omar Khlaif, Interaction of Size and Momentum Effects in Jordan Firms: 2005-2014 (November 2, 2015). International Review of Management and Business Research, Vol. 4, No. 1, March 2015. Available at SSRN: https://ssrn.com/abstract=2684983

Omar Khlaif Gharaibeh (Contact Author)

Al Albayt University ( email )

AL-Hashemia
Ajloun, 00962
Jordan

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