2013 | Asness, Clifford S.; Moskowitz, Tobias; Heje Pedersen, Lasse
The paper "Value and Momentum Everywhere" by Clifford S. Asness, Tobias J. Moskowitz, and Lasse Heje Pedersen examines the returns to value and momentum strategies across eight diverse markets and asset classes. The authors find consistent value and momentum premia in every asset class and strong co-movement of their returns, challenging existing theories that focus on U.S. equities. They introduce a simple three-factor model that captures the global returns, including the Fama-French U.S. stock portfolios and hedge fund indices. The model reveals a common global risk structure, primarily driven by global funding liquidity risk, which is only identifiable when examining value and momentum simultaneously across markets. The findings suggest that value and momentum are negatively correlated within and across asset classes, indicating the presence of common global factors. The study also highlights the robustness of the value and momentum strategies when combined, outperforming either strategy alone, and presents a significant challenge to asset pricing models.The paper "Value and Momentum Everywhere" by Clifford S. Asness, Tobias J. Moskowitz, and Lasse Heje Pedersen examines the returns to value and momentum strategies across eight diverse markets and asset classes. The authors find consistent value and momentum premia in every asset class and strong co-movement of their returns, challenging existing theories that focus on U.S. equities. They introduce a simple three-factor model that captures the global returns, including the Fama-French U.S. stock portfolios and hedge fund indices. The model reveals a common global risk structure, primarily driven by global funding liquidity risk, which is only identifiable when examining value and momentum simultaneously across markets. The findings suggest that value and momentum are negatively correlated within and across asset classes, indicating the presence of common global factors. The study also highlights the robustness of the value and momentum strategies when combined, outperforming either strategy alone, and presents a significant challenge to asset pricing models.