...evidence from German stocks supports belief in the pervasiveness of a momentum effect and perhaps a value premium, but not market beta and size effects. Any sentiment effect is likely weak, specific to susceptible stocks and concentrated in intervals after very low sentiment.
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...a simple style momentum strategy implemented with ETFs may perform well compared to the overall stock market and individual style ETFs.
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...evidence from very limited data suggests that there may be some systematic differences in seasonality among size and value/growth ETFs, but the combination of small sample size and modest magnitude of differences does not support confident belief.
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...evidence from simple tests on a small sample offers weak support for a belief that large (small) capitalization stocks fare better when the Federal Funds Rate target is increasing (decreasing).
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...investors may be able to streamline the search for anomalous returns by focusing on two factors: (1) firm size, representing the rational risk of failure; and, (2) a seasonal factor related to...
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TweetMeme – Finance