Value and Momentum Everywhere

Clifford S. Asness, Tobias J. Moskowitz , Lasse Heje Pedersen

Publikation: Working paperForskning

Abstrakt

We study the returns to value and momentum strategies jointly across eight diverse markets and asset classes. Finding consistent value and momentum premia in every asset class, we further find strong common factor structure among their returns. Value and momentum are more positively correlated across asset classes than passive exposures to the asset classes themselves. However, value and momentum are negatively correlated both within and across asset classes. Our results indicate the presence of common global risks that we characterize with a three factor model. Global funding liquidity risk is a partial source of these patterns, which are identifiable only when examining value and momentum simultaneously across markets. Our findings present a challenge to existing behavioral, institutional, and rational asset pricing theories that largely focus on U.S. equities.
OriginalsprogEngelsk
Udgivelses stedChicago, IL
UdgiverThe University of Chicago Booth School of Business
Antal sider70
DOI
StatusUdgivet - 2012
NavnChicago Booth Paper
Nummer12-53

Citationsformater