Asness, Clifford S., Tobias J. Moskowitz, and Lasse Heje Pedersen (2013) examine the returns of value and momentum strategies across eight diverse markets and asset classes. They find consistent value and momentum premia in every asset class and 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, but negatively correlated within and across asset classes. The authors propose a three-factor model that captures global returns across asset classes, Fama-French U.S. stock portfolios, and hedge fund indices. They find that liquidity risk is negatively related to value and positively related to momentum globally. Funding liquidity risk is a partial source of these patterns, which are identifiable only when examining value and momentum simultaneously across markets. The authors challenge existing behavioral, institutional, and rational asset pricing theories that focus on U.S. equities. They find that value and momentum strategies are negatively correlated with each other within and across asset classes, suggesting the presence of common global factors. The authors also find that liquidity risk can only explain a small fraction of value and momentum return premia and co-movement. They argue that funding liquidity risk can only provide a partial explanation for momentum, but cannot explain the value premium or the value and momentum combination premium. The authors highlight that studying value and momentum jointly is more powerful than examining each in isolation. They find that a simple combination of value and momentum is much closer to the efficient frontier than either strategy alone. The authors also relate their findings to recent literature on global asset pricing, finding consistent risk premia across markets. They find that value and momentum strategies are negatively correlated across asset classes, suggesting the presence of common global factors. The authors also find that value and momentum strategies are negatively correlated with each other within and across asset classes, indicating the presence of common global factors. The authors find that value and momentum strategies are negatively correlated with each other within and across asset classes, suggesting the presence of common global factors. The authors find that value and momentum strategies are negatively correlated with each other within and across asset classes, indicating the presence of common global factors. The authors find that value and momentum strategies are negatively correlated with each other within and across asset classes, suggesting the presence of common global factors. The authors find that value and momentum strategies are negatively correlated with each other within and across asset classes, indicating the presence of common global factors. The authors find that value and momentum strategies are negatively correlated with each other within and across asset classes, suggesting the presence of common global factors. The authors find that value and momentum strategies are negatively correlated with each other within and across asset classes, indicating the presence of common global factors. The authors find that value and momentum strategies are negatively correlated with each other within and across asset classes, suggesting the presence of common global factors. The authors find that value and momentum strategies are negatively correlated with each other within and across asset classes, indicating theAsness, Clifford S., Tobias J. Moskowitz, and Lasse Heje Pedersen (2013) examine the returns of value and momentum strategies across eight diverse markets and asset classes. They find consistent value and momentum premia in every asset class and 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, but negatively correlated within and across asset classes. The authors propose a three-factor model that captures global returns across asset classes, Fama-French U.S. stock portfolios, and hedge fund indices. They find that liquidity risk is negatively related to value and positively related to momentum globally. Funding liquidity risk is a partial source of these patterns, which are identifiable only when examining value and momentum simultaneously across markets. The authors challenge existing behavioral, institutional, and rational asset pricing theories that focus on U.S. equities. They find that value and momentum strategies are negatively correlated with each other within and across asset classes, suggesting the presence of common global factors. The authors also find that liquidity risk can only explain a small fraction of value and momentum return premia and co-movement. They argue that funding liquidity risk can only provide a partial explanation for momentum, but cannot explain the value premium or the value and momentum combination premium. The authors highlight that studying value and momentum jointly is more powerful than examining each in isolation. They find that a simple combination of value and momentum is much closer to the efficient frontier than either strategy alone. The authors also relate their findings to recent literature on global asset pricing, finding consistent risk premia across markets. They find that value and momentum strategies are negatively correlated across asset classes, suggesting the presence of common global factors. The authors also find that value and momentum strategies are negatively correlated with each other within and across asset classes, indicating the presence of common global factors. The authors find that value and momentum strategies are negatively correlated with each other within and across asset classes, suggesting the presence of common global factors. The authors find that value and momentum strategies are negatively correlated with each other within and across asset classes, indicating the presence of common global factors. The authors find that value and momentum strategies are negatively correlated with each other within and across asset classes, suggesting the presence of common global factors. The authors find that value and momentum strategies are negatively correlated with each other within and across asset classes, indicating the presence of common global factors. The authors find that value and momentum strategies are negatively correlated with each other within and across asset classes, suggesting the presence of common global factors. The authors find that value and momentum strategies are negatively correlated with each other within and across asset classes, indicating the presence of common global factors. The authors find that value and momentum strategies are negatively correlated with each other within and across asset classes, suggesting the presence of common global factors. The authors find that value and momentum strategies are negatively correlated with each other within and across asset classes, indicating the