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Value and Momentum in Global Markets by Attaullah Shah is a document available to read on EtoBox.
What is Value and Momentum in Global Markets about?
1) The document analyzes value and momentum factors in 23 developed international stock markets. It finds that value and momentum premia are typically smaller for large market capitalization stocks than small stocks. 2) Momentum factors are more highly correlated internationally than value factors. Most inter-country correlations between value and momentum factors are statistically significant and negative. 3) The document examines the risk exposures of value and momentum returns to macroeconomic risk,
- Author
- Attaullah Shah
- Language
- EN