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...

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Veröffentlicht in:	The Journal of finance (New York) 2013-06, Vol.68 (3), p.929-985
Hauptverfasser:	ASNESS, CLIFFORD S., MOSKOWITZ, TOBIAS J., PEDERSEN, LASSE HEJE
Format:	Artikel
Sprache:	eng
Schlagworte:	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
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