文章基本信息

标题：Interaction of Size and Momentum Effects in Jordan Firms: 2005-2014
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作者：OMAR GHARAIBEH
期刊名称：International Review of Management and Business Research
印刷版ISSN：2307-5953
电子版ISSN：2306-9007
出版年度：2015
卷号：4
期号：1Part 2
页码：121-136
出版社：Academy of IRMBR
摘要：This study sought to disentangle the effects of size and whether there are size and momentum effects on Jordan firm returns. Initial findings showed that size effect has important role in explaining returns. For momentum effect, while in general there is no momentum effect in Jordan firm market, the study results founds that there is a strong evidence of momentum for the large-sized portfolios at Jordan firm returns. There is interaction between size and momentum. Two key findings emerge. First, there is a strong evidence for size effect. Second, the momentum premium is only evident for the large-sized portfolios.
关键词：Fama and French; Large-Sized Portfolios.