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Size and momentum in European equity markets: empirical findings from varying beta Capital Asset Pricing Model

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  • George Karathanasis
  • Konstantinos Kassimatis
  • Spyros Spyrou

Abstract

We use securities listed on 13 European equity markets to form size and momentum portfolios. We find limited evidence of a size premium but significant momentum returns in eight sample markets. We find that these premia may not constitute an anomaly because they are consistent with a varying‐beta Capital Asset Pricing Model. We also show that systematic risk is related to the business cycle. Furthermore, the results suggest that although size and especially momentum returns are significant, it would be difficult to exploit them in the short to medium run, because they are positive and sizeable in very few years in our sample.

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  • George Karathanasis & Konstantinos Kassimatis & Spyros Spyrou, 2010. "Size and momentum in European equity markets: empirical findings from varying beta Capital Asset Pricing Model," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 50(1), pages 143-169, March.
    • Handle: RePEc:bla:acctfi:v:50:y:2010:i:1:p:143-169
    DOI: 10.1111/j.1467-629X.2009.00314.x
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    Cited by:

    1. Kent Wang & Jiawei Li & Shicheng Huang, 2013. "Bad beta good beta, state-space news decomposition and the cross-section of stock returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(2), pages 587-607, June.
    2. Smimou, K. & Khallouli, W., 2015. "Does the Euro affect the dynamic relation between stock market liquidity and the business cycle?," Emerging Markets Review, Elsevier, vol. 25(C), pages 125-153.
    3. Jennifer K Gippel, 2013. "A revolution in finance?," Australian Journal of Management, Australian School of Business, vol. 38(1), pages 125-146, April.
    4. Vasilios Sogiakas, 2017. "Efficiency of the UK Stock Exchange," Journal of Risk & Control, Risk Market Journals, vol. 4(1), pages 51-69.
    5. repec:wyi:journl:002153 is not listed on IDEAS

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