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- W2478603014 abstract "AbstractWe examine the incremental cross-sectional role of several common risk factors related to size, book-to-market, and momentum in size-and-momentum-sorted portfolios. Unlike the existing literature, which focuses on the conditional mean specification only, we evaluate the common risk factors’ incremental explanatory power in the cross-sectional characterization of both average return and conditional volatility. We also investigate the role of ex-ante market risk in the cross-section. The empirical results demonstrate that the size-and-momentum-based risk factors explain a significant portion of the cross-sectional average returns and cross-sectional conditional volatility of the benchmark equity portfolios. We find that the Fama–French (1993) factors and the ex-ante market risk are priced in the cross-sectional conditional volatility. We conclude that the size-and-momentum-based factors provide a source of risk that is independent of the Fama–French factors as well as ex-post and ex-ante market risk. Our results bolster the risk-based explanation of the size and momentum effects." @default.
- W2478603014 created "2016-08-23" @default.
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- W2478603014 date "2016-07-18" @default.
- W2478603014 modified "2023-09-27" @default.
- W2478603014 title "Size, Value, and Momentum Risk in the Cross-Section of Average Returns and Volatility" @default.
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- W2478603014 doi "https://doi.org/10.1108/s0196-382120160000032005" @default.
- W2478603014 hasPublicationYear "2016" @default.
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