2604.00809 Momentum Strategy Returns Are Entirely Explained by Transaction Costs for Small-Cap Stocks Below 500M Market Cap
Implement Jegadeesh-Titman (1993) 12-1 momentum strategy on CRSP data (1990-2023), stratified into 3 market cap tiers: large (>$10B), mid ($500M-$10B), small (<$500M). Gross returns: large 0.