Analysis of Size and Momentum Anomalies in CAPM
Authors
Ziqi Wan
1Finance and Business analytics, University of Sydney, 2006 NSW, Australia
*University of Sydney’s e-mail: zwan8416@uni.sydney.edu.au
Corresponding Author
Ziqi Wan
Available Online 15 December 2021.
- DOI
- 10.2991/assehr.k.211209.108How to use a DOI?
- Keywords
- size; momentum; stocks; CAPM
- Abstract
By assuming a linear relationship between expected returns and Beta (Beta is always positive), CAPM provides a powerful and direct prediction on how to measure the relationship between expected returns and risk [1]. However, CAPM still has drawbacks. On average, smaller companies have higher risk-adjusted returns than larger companies [2], which proves that CAPM is wrong. De Bondt and Thaler also find that CAPM cannot explain the abnormal returns between “winner” and “loser” stocks [3]. Based on the above information, this study aims to analyze size and momentum anomalies, and evaluate the performance of CAPM based on different sizes and momentum stocks.
- Copyright
- © 2021 The Authors. Published by Atlantis Press International B.V.
- Open Access
- This is an open access article under the CC BY-NC license.
Cite this article
TY - CONF AU - Ziqi Wan PY - 2021 DA - 2021/12/15 TI - Analysis of Size and Momentum Anomalies in CAPM BT - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021) PB - Atlantis Press SP - 662 EP - 665 SN - 2352-5428 UR - https://doi.org/10.2991/assehr.k.211209.108 DO - 10.2991/assehr.k.211209.108 ID - Wan2021 ER -