Value and Momentum Everywhere
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 ar...
Gespeichert in:
| Veröffentlicht in: | The Journal of finance (New York) 2013-06, Vol.68 (3), p.929-985 |
|---|---|
| Hauptverfasser: | , , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 985 |
|---|---|
| container_issue | 3 |
| container_start_page | 929 |
| container_title | The Journal of finance (New York) |
| container_volume | 68 |
| creator | ASNESS, CLIFFORD S. MOSKOWITZ, TOBIAS J. PEDERSEN, LASSE HEJE |
| description | 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_str_mv | 10.1111/jofi.12021 |
| format | Article |
| fullrecord | <record><control><sourceid>jstor_proqu</sourceid><recordid>TN_cdi_proquest_miscellaneous_1418120601</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><jstor_id>42002613</jstor_id><sourcerecordid>42002613</sourcerecordid><originalsourceid>FETCH-LOGICAL-c5881-367728874e449381b5d21bf7947c82e09c2c70b65f86c8a1a71223f8561f2ea33</originalsourceid><addsrcrecordid>eNp9kc1PwkAQxTdGExG9eCch8WJMiju73Y8elQCiKCFRPG6Wso2tLcXdVuS_t7XKwQNzmcP83mTeG4TOAfegquskj-IeEEzgALWA-djjhMMhamFMiAdYkmN04lyC62KshTpznZamq1fL7mOemVVRZt3Bp7HbzZux5hQdRTp15uy3t9HLcPDcv_Mm09G4fzPxQiYleJQLQaQUvvH9gEpYsCWBRSQCX4SSGByEJBR4wVkkeSg1aAGE0EgyDhExmtI2umz2rm3-URpXqCx2oUlTvTJ56RT4ICtXHEOFXvxDk7y0q-o6BQEVggMX-ynKOCaCM15RVw0V2tw5ayK1tnGm7VYBVnWeqs5T_eRZwdDAmzg12z2kup8Ox3-aTqNJXJHbncYn1Ts41L69Zh67wnzt5tq-Ky6oYOr1aaRmM_kQzOmtIvQbdaCLLg</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>1356027656</pqid></control><display><type>article</type><title>Value and Momentum Everywhere</title><source>Jstor Complete Legacy</source><source>Wiley Online Library Journals Frontfile Complete</source><creator>ASNESS, CLIFFORD S. ; MOSKOWITZ, TOBIAS J. ; PEDERSEN, LASSE HEJE</creator><creatorcontrib>ASNESS, CLIFFORD S. ; MOSKOWITZ, TOBIAS J. ; PEDERSEN, LASSE HEJE</creatorcontrib><description>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.</description><identifier>ISSN: 0022-1082</identifier><identifier>EISSN: 1540-6261</identifier><identifier>DOI: 10.1111/jofi.12021</identifier><identifier>CODEN: JLFIAN</identifier><language>eng</language><publisher>Cambridge: Blackwell Publishing Ltd</publisher><subject>Asset pricing ; Assets ; Capital market ; Certificates of deposit ; Correlation analysis ; Economic value ; Financial assets ; Financial portfolios ; Financial risks ; Financial securities ; Funding liquidity ; Investment risk ; Liquidity ; Liquidity risk ; Markets ; Portfolio management ; Price momentum ; Rates of return ; Risk exposure ; Securities markets ; Stock prices ; Studies ; U.S.A ; Value</subject><ispartof>The Journal of finance (New York), 2013-06, Vol.68 (3), p.929-985</ispartof><rights>2013 American Finance Association</rights><rights>2013 the American Finance Association</rights><rights>Copyright Blackwell Publishers Inc. Jun 2013</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c5881-367728874e449381b5d21bf7947c82e09c2c70b65f86c8a1a71223f8561f2ea33</citedby><cites>FETCH-LOGICAL-c5881-367728874e449381b5d21bf7947c82e09c2c70b65f86c8a1a71223f8561f2ea33</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://www.jstor.org/stable/pdf/42002613$$EPDF$$P50$$Gjstor$$H</linktopdf><linktohtml>$$Uhttps://www.jstor.org/stable/42002613$$EHTML$$P50$$Gjstor$$H</linktohtml><link.rule.ids>314,776,780,799,1411,27901,27902,45550,45551,57992,58225</link.rule.ids></links><search><creatorcontrib>ASNESS, CLIFFORD S.</creatorcontrib><creatorcontrib>MOSKOWITZ, TOBIAS J.</creatorcontrib><creatorcontrib>PEDERSEN, LASSE HEJE</creatorcontrib><title>Value and Momentum Everywhere</title><title>The Journal of finance (New York)</title><addtitle>The Journal of Finance</addtitle><description>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.</description><subject>Asset pricing</subject><subject>Assets</subject><subject>Capital market</subject><subject>Certificates of deposit</subject><subject>Correlation analysis</subject><subject>Economic value</subject><subject>Financial assets</subject><subject>Financial portfolios</subject><subject>Financial risks</subject><subject>Financial securities</subject><subject>Funding liquidity</subject><subject>Investment risk</subject><subject>Liquidity</subject><subject>Liquidity risk</subject><subject>Markets</subject><subject>Portfolio management</subject><subject>Price momentum</subject><subject>Rates of return</subject><subject>Risk exposure</subject><subject>Securities markets</subject><subject>Stock prices</subject><subject>Studies</subject><subject>U.S.A</subject><subject>Value</subject><issn>0022-1082</issn><issn>1540-6261</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2013</creationdate><recordtype>article</recordtype><recordid>eNp9kc1PwkAQxTdGExG9eCch8WJMiju73Y8elQCiKCFRPG6Wso2tLcXdVuS_t7XKwQNzmcP83mTeG4TOAfegquskj-IeEEzgALWA-djjhMMhamFMiAdYkmN04lyC62KshTpznZamq1fL7mOemVVRZt3Bp7HbzZux5hQdRTp15uy3t9HLcPDcv_Mm09G4fzPxQiYleJQLQaQUvvH9gEpYsCWBRSQCX4SSGByEJBR4wVkkeSg1aAGE0EgyDhExmtI2umz2rm3-URpXqCx2oUlTvTJ56RT4ICtXHEOFXvxDk7y0q-o6BQEVggMX-ynKOCaCM15RVw0V2tw5ayK1tnGm7VYBVnWeqs5T_eRZwdDAmzg12z2kup8Ox3-aTqNJXJHbncYn1Ts41L69Zh67wnzt5tq-Ky6oYOr1aaRmM_kQzOmtIvQbdaCLLg</recordid><startdate>201306</startdate><enddate>201306</enddate><creator>ASNESS, CLIFFORD S.</creator><creator>MOSKOWITZ, TOBIAS J.</creator><creator>PEDERSEN, LASSE HEJE</creator><general>Blackwell Publishing Ltd</general><general>Wiley Subscription Services</general><general>Blackwell Publishers Inc</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>201306</creationdate><title>Value and Momentum Everywhere</title><author>ASNESS, CLIFFORD S. ; MOSKOWITZ, TOBIAS J. ; PEDERSEN, LASSE HEJE</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c5881-367728874e449381b5d21bf7947c82e09c2c70b65f86c8a1a71223f8561f2ea33</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2013</creationdate><topic>Asset pricing</topic><topic>Assets</topic><topic>Capital market</topic><topic>Certificates of deposit</topic><topic>Correlation analysis</topic><topic>Economic value</topic><topic>Financial assets</topic><topic>Financial portfolios</topic><topic>Financial risks</topic><topic>Financial securities</topic><topic>Funding liquidity</topic><topic>Investment risk</topic><topic>Liquidity</topic><topic>Liquidity risk</topic><topic>Markets</topic><topic>Portfolio management</topic><topic>Price momentum</topic><topic>Rates of return</topic><topic>Risk exposure</topic><topic>Securities markets</topic><topic>Stock prices</topic><topic>Studies</topic><topic>U.S.A</topic><topic>Value</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>ASNESS, CLIFFORD S.</creatorcontrib><creatorcontrib>MOSKOWITZ, TOBIAS J.</creatorcontrib><creatorcontrib>PEDERSEN, LASSE HEJE</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>The Journal of finance (New York)</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>ASNESS, CLIFFORD S.</au><au>MOSKOWITZ, TOBIAS J.</au><au>PEDERSEN, LASSE HEJE</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Value and Momentum Everywhere</atitle><jtitle>The Journal of finance (New York)</jtitle><addtitle>The Journal of Finance</addtitle><date>2013-06</date><risdate>2013</risdate><volume>68</volume><issue>3</issue><spage>929</spage><epage>985</epage><pages>929-985</pages><issn>0022-1082</issn><eissn>1540-6261</eissn><coden>JLFIAN</coden><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.</abstract><cop>Cambridge</cop><pub>Blackwell Publishing Ltd</pub><doi>10.1111/jofi.12021</doi><tpages>57</tpages><oa>free_for_read</oa></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0022-1082 |
| ispartof | The Journal of finance (New York), 2013-06, Vol.68 (3), p.929-985 |
| issn | 0022-1082 1540-6261 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_1418120601 |
| source | Jstor Complete Legacy; Wiley Online Library Journals Frontfile Complete |
| subjects | Asset pricing Assets Capital market Certificates of deposit Correlation analysis Economic value Financial assets Financial portfolios Financial risks Financial securities Funding liquidity Investment risk Liquidity Liquidity risk Markets Portfolio management Price momentum Rates of return Risk exposure Securities markets Stock prices Studies U.S.A Value |
| title | Value and Momentum Everywhere |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-02-02T11%3A17%3A56IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-jstor_proqu&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Value%20and%20Momentum%20Everywhere&rft.jtitle=The%20Journal%20of%20finance%20(New%20York)&rft.au=ASNESS,%20CLIFFORD%20S.&rft.date=2013-06&rft.volume=68&rft.issue=3&rft.spage=929&rft.epage=985&rft.pages=929-985&rft.issn=0022-1082&rft.eissn=1540-6261&rft.coden=JLFIAN&rft_id=info:doi/10.1111/jofi.12021&rft_dat=%3Cjstor_proqu%3E42002613%3C/jstor_proqu%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=1356027656&rft_id=info:pmid/&rft_jstor_id=42002613&rfr_iscdi=true |