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What is Value and Momentum in Global Stocks about?

This study examines size, value, and momentum patterns in international stock returns across four regions: North America, Europe, Japan, and Asia Pacific. It tests whether empirical asset pricing models like the three-factor and four-factor models capture the value and momentum patterns in average returns across different size groups. It also examines whether asset pricing seems integrated across the four regions. The authors find value premiums that generally decrease with size, except in Japan, and moment

Author

jomanous

Language

EN