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  • Value and Momentum Everywhere
    ASNESS, CLIFFORD S.; MOSKOWITZ, TOBIAS J.; PEDERSEN, LASSE HEJE

    The Journal of finance (New York), June 2013, Volume: 68, Issue: 3
    Journal Article

    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 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 jointly across markets. Our findings present a challenge to existing behavioral, institutional, and rational asset pricing theories that largely focus on U.S. equities.