Size, Value and Momentum in Stock Returns: an Empirical Analysis, 2010-2014

Based on the landmark studies of Eugene Fama and Kenneth French in the 1990\u27s, most financial economists consider a firm\u27s market capitalization (size) and price to book as two of the most important factors affecting the cross section of stock market returns. In recent years, other factors including stock price momentum have been accepted as predictors of stock returns in the cross section. In this study, I develop a three factor analysis of S&P 500 stock returns for the period 2010-2014. This period was chosen because it is not included in more recent studies. It also reflects a period of high volatility in the market with a strongly accommodating monetary policy. Using the factors firm size, price to book and stock price momentum, I test the following hypotheses: (1) Small cap stocks outperform large cap stocks, (2) growth stocks outperform value stocks, (3) growth stocks have longer periods of market out-performance (momentum) when compared to value stocks.https://ecommons.udayton.edu/stander_posters/1714/thumbnail.jp