Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)

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.

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Volume Title
Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
Series
Advances in Economics, Business and Management Research
Publication Date
15 December 2021
ISBN
978-94-6239-483-4
ISSN
2352-5428
DOI
10.2991/assehr.k.211209.108How to use a DOI?
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  -