Size, Value, and Momentum in International Stock Returns

By Sandra Krueger. 2012

1,543 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/be388fb9059c223c97be2bea43d467d598ef4bf0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

Citations in the corpus

The five-factor asset pricing model tests for the Chinese stock market (2017, background): “Fama and French (2012, 2015b) emphasize that the Global version of the factor asset pricing model performs poorly, and the Local version can give a clear explanation of the anomalies.”
Funding Financial Inclusion: Institutional Logics and the Contextual Contingency of Funding for Microfinance Organizations (2016, background): “First, the practical value of a loan may be related to its term (Fama & French, 2012).”
A three-factor pricing model for cryptocurrencies (2020, methodology): “The weekly breakpoints of prior returns are the 30 th and 70 th percentiles while we define cryptocurrencies with top 90% market cap as the big ones and the bottom 10% as the small ones (consistent with Fama and French 2012).”
The JOBS Act and IPO Volume: Evidence that Disclosure Costs Affect the IPO Decision (2015, methodology): “These results are robust to defining the beginning of the post-JOBS period as beginning any time between April 2012 and April 2013, including offerings of less than $5 million in proceeds, using the 20 developed nations in Fama and French (2012) as a control sample, adjusting the sample period, addi”
The Opportunity Cost of Negative Screening in Socially Responsible Investing (2017, background): “Fama and French (2012) recommend using the global factors in applications to explain the returns on global portfolios, e.g., to evaluate the performance of mutual funds that hold a global portfolio of stocks, as long as the portfolio does not have a strong tilt toward microcaps or toward the stocks…”
Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies (2017, background): “Since this publication, many academic works have confirmed the pertinence of this momentum strategy (e.g. Carhart, 1997; Rouwenhorst, 1998; Grundy and Martin, 2001; Fama and French, 2012).”
The Role of Shorting, Firm Size, and Time on Market Anomalies (2013, background): “…The lack of significance of value in the U.K. and Europe and lack of a momentum premium in Japan are perfectly consistent with random chance.16 Long-only value portfolios exhibit positive and 15 Fama and French (2012) do find a robust value premium in the U.K. and Europe among smaller stocks.”
Portfolio Concentration and Performance of Institutional Investors Worldwide (2017, methodology): “To adjust for additional dimensions of systematic risk, in addition to the global market premium, we follow Fama and French (2012) and add global risk factors (SMB, HML, and UMD) in specification 5.”
Enhancing the momentum strategy through deep regression (2019, background): “In Fama and French (2012), it was discovered that the momentum phenomenon is valid not only across international markets but also to small capitalization stocks.”
Trading Costs of Asset Pricing Anomalies (2012, neutral): “16 Using the Fama and French (1993) three factor model augmented with a fourth momentum factor does not have a material impact on the results.”
Momentum has its moments (2015, background): “Our work is also related to the literature on whether risk factors explain the risk of momentum (Griffin, Ji, and Martin, 2003; Cooper, Gutierrez, and Hameed, 2004; Fama and French, 2012).”