Value and Momentum Everywhere

Volume: 68, Issue: 3, Pages: 929 - 985
Published: May 20, 2013
Abstract
We find consistent value and momentum return premia across eight diverse markets and asset classes, and a strong common factor structure among their returns. Value and momentum returns correlate more strongly across asset classes than passive exposures to the asset classes, but value and momentum are negatively correlated with each other, both within and across asset classes. Our results indicate the presence of common global risks that we...
Paper Details
Title
Value and Momentum Everywhere
Published Date
May 20, 2013
Volume
68
Issue
3
Pages
929 - 985
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