CAJ | 학술논문

我们选用在13个欧洲股市上市的证券，形成规模和动因组合。我们不仅发现规模溢价的证据．还发现8个样本市场存在重大动因收益率。这些收益率可能不构成异常现象，因为它们与不同β值的资本资产定价模型一致。我们还发现，系统风险与经济周期有关。此外，研究结果显示，虽然规模和动因收益率显著，但是难以在中、短期利用它们，因为在我们的样本中只有极少年份它们的数值为正且很大。
아문선용재13개구주고시상시적증권，형성규모화동인조합。아문불부발현규모일개적증거．환발현8개양본시장존재중대동인수익솔。저사수익솔가능불구성이상현상，인위타문여불동β치적자본자산정개모형일치。아문환발현，계통풍험여경제주기유관。차외，연구결과현시，수연규모화동인수익솔현저，단시난이재중、단기이용타문，인위재아문적양본중지유겁소년빈타문적수치위정차흔대。
Through using 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 this premium 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.