The DOI matches its Crossref record; 5 of the 5 references it cites were found in a registry or an index.
Value and Momentum Everywhere
Open accessAbstract
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.
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Citations
Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
On Persistence in Mutual Fund Performance
Carhart, M. M. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03808.x · Cited by 17,283
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
JEGADEESH, N., & TITMAN, S. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb04702.x · Cited by 11,584
Size, value, and momentum in international stock returns
Fama, E. F., & French, K. R. (2012) · Journal of Financial Economics · doi:10.1016/j.jfineco.2012.05.011 · Cited by 1,767
Technical trading rule profitability and foreign exchange intervention
LeBaron, B. (1999) · Journal of International Economics · doi:10.1016/s0022-1996(98)00061-0 · Cited by 390
Cited by
… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
Does Academic Research Destroy Stock Return Predictability?
MCLEAN, R. D., & PONTIFF, J. (2016) · The Journal of Finance · doi:10.1111/jofi.12365 · Cited by 1,566
Hirshleifer, D. (2015) · Annual Review of Financial Economics · doi:10.1146/annurev-financial-092214-043752 · Cited by 497
Conditional risk premia in currency markets and other asset classes
Lettau, M., Maggiori, M., & Weber, M. (2014) · Journal of Financial Economics · doi:10.1016/j.jfineco.2014.07.001 · Cited by 394
Risk Everywhere: Modeling and Managing Volatility
Bollerslev, T., Hood, B., Huss, J., & Pedersen, L. H. (2018) · The Review of Financial Studies · doi:10.1093/rfs/hhy041 · Cited by 359
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Metadata
- Authors
- ASNESS, C. S., MOSKOWITZ, T. J., & PEDERSEN, L. H.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2013-05-20
- Volume
- 68
- Issue
- 3
- Pages
- 929-985
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2320868325
- Cited by
- 2,147
- References
- 5
- FWCI
- 270.48
- Type
- journal article
- Language
- en
- Open access
- green
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
