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Journal of Finance Vol. 68 No. 3 2013

Value and Momentum Everywhere

Clifford S. Asness1,2,3,4,5,6; Tobias J. Moskowitz1,2,3,4,5,6; Lasse Heje Pedersen7,4,8

1 Valve (United States) · 2 Duke University · 3 Princeton University · 4 University of Chicago · 5 Vale (United Kingdom) · 6 New York University · 7 Copenhagen Business School · 8 Cochrane

open access

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 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.

DOI
10.1111/jofi.12021
Volume
68
Issue
3
Pages
929-985
Language
en
Sources
bibtex:phds-export.bib openalex crossref

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