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 premiums in every asset class and strong co-movement among their returns. Value and momentum strategies are positively correlated across asset classes, but negatively correlated within and across them. This co-movement suggests the presence of common global factors, which the authors characterize using a three-factor model. The global funding liquidity risk is identified as a partial source of these patterns, which are only identifiable when examining value and momentum simultaneously across markets. The findings challenge existing behavioral, institutional, and rational asset pricing theories that primarily focus on U.S. equities. The paper also highlights the power of combining value and momentum strategies, which outperforms either strategy alone and exhibits less variation across markets and over time. The authors construct value and momentum portfolios for individual stocks and non-stock asset classes, and use a simple three-factor model to capture the global returns. They find that separate factors for value and momentum best explain the data, as both strategies produce positive returns but are negatively correlated. The study also investigates the economic drivers of value and momentum premiums and their correlation structure, suggesting that liquidity risk plays a significant role.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 premiums in every asset class and strong co-movement among their returns. Value and momentum strategies are positively correlated across asset classes, but negatively correlated within and across them. This co-movement suggests the presence of common global factors, which the authors characterize using a three-factor model. The global funding liquidity risk is identified as a partial source of these patterns, which are only identifiable when examining value and momentum simultaneously across markets. The findings challenge existing behavioral, institutional, and rational asset pricing theories that primarily focus on U.S. equities. The paper also highlights the power of combining value and momentum strategies, which outperforms either strategy alone and exhibits less variation across markets and over time. The authors construct value and momentum portfolios for individual stocks and non-stock asset classes, and use a simple three-factor model to capture the global returns. They find that separate factors for value and momentum best explain the data, as both strategies produce positive returns but are negatively correlated. The study also investigates the economic drivers of value and momentum premiums and their correlation structure, suggesting that liquidity risk plays a significant role.