How is momentum justified as common risk factor

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What are the economic justifications of the size premium?

In factor pricing models like the intertemportal capital asset pricing model (I-CAPM) or arbitrage pricing theory (APT), it is assumed that exposure to one of these factors represent exposure to some sort of undesirable risk. In this question, I'm trying to understand how to interpret exposure to size (measured by market capitalization) as exposure to some form of common risk.

This question is related to this question about momentum: "How is momentum justified as a common risk factor?"

Reference no: EM13838621

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