By |Published On: March 13th, 2015|Categories: Research Insights|

Interaction of Size and Momentum Effects in Jordan Firms: 2005-2014

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.


The paper examines the relations between selected company characteristics and common stock returns. In the paper, we concentrate on four well-recognized fundamental factors determining stock returns: momentum, value, size and liquidity. First, we review the existing literature in the field. Second, we investigate the relationship between fundamental factors and stock returns on the Polish market. Our computations are based on all companies on the Warsaw Stock Exchange listed in the period 2000-12. Our research provides fresh out-of-sample evidence for momentum, value, size and liquidity premium from the Polish market.

The Application of Three-Factor Pricing Model in LQ45 Index

The Capital Asset Pricing Model has been widely used in many countries and modified to several models such as to Three-Factor Pricing Model and Four-Factor Pricing Model. The objective of this research is to compare the Three-Factor Pricing Model and Four-Factor Pricing Model for stocks in Indonesia Stock Exchange LQ45 index. Financial data for the period 2006 to 2011 were obtained from the Indonesia Stock Exchange’s website. Fama-French methodology was used to construct equations Three-Factor Pricing Model, while to build a Four-Factor Pricing Model the methodology used was developed by Carhart. The result of using quantitative method and multiple-regression indicates that Four-Factor Pricing Model is fitter than Three-Factor Pricing Model for Indonesia Stock Exchange LQ45 index in that period.

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About the Author: Wesley Gray, PhD

Wesley Gray, PhD
After serving as a Captain in the United States Marine Corps, Dr. Gray earned an MBA and a PhD in finance from the University of Chicago where he studied under Nobel Prize Winner Eugene Fama. Next, Wes took an academic job in his wife’s hometown of Philadelphia and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management firm dedicated to an impact mission of empowering investors through education. He is a contributor to multiple industry publications and regularly speaks to professional investor groups across the country. Wes has published multiple academic papers and four books, including Embedded (Naval Institute Press, 2009), Quantitative Value (Wiley, 2012), DIY Financial Advisor (Wiley, 2015), and Quantitative Momentum (Wiley, 2016). Dr. Gray currently resides in Palmas Del Mar Puerto Rico with his wife and three children. He recently finished the Leadville 100 ultramarathon race and promises to make better life decisions in the future.

Important Disclosures

For informational and educational purposes only and should not be construed as specific investment, accounting, legal, or tax advice. Certain information is deemed to be reliable, but its accuracy and completeness cannot be guaranteed. Third party information may become outdated or otherwise superseded without notice.  Neither the Securities and Exchange Commission (SEC) nor any other federal or state agency has approved, determined the accuracy, or confirmed the adequacy of this article.

The views and opinions expressed herein are those of the author and do not necessarily reflect the views of Alpha Architect, its affiliates or its employees. Our full disclosures are available here. Definitions of common statistics used in our analysis are available here (towards the bottom).

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