Value and Momentum Everywhere
Clifford S. Asness
AQR Capital Management, LLC
Tobias J. Moskowitz
University of Chicago - Booth School of Business; AQR Capital; National Bureau of Economic Research (NBER)
Lasse Heje Pedersen
Copenhagen Business School; New York University (NYU); AQR Capital Management, LLC; Centre for Economic Policy Research (CEPR)
March 6, 2009
AFA 2010 Atlanta Meetings Paper
Value and momentum ubiquitously generate abnormal returns for individual stocks within several countries, across country equity indices, government bonds, currencies, and commodities. We study jointly the global returns to value and momentum and explore their common factor structure. We find that value (momentum) in one asset class is positively correlated with value (momentum) in other asset classes, and value and momentum are negatively correlated within and across asset classes. Liquidity risk is positively related to value and negatively to momentum, and its importance increases over time, particularly following the liquidity crisis of 1998. These patterns emerge from the power of examining value and momentum everywhere simultaneously and are not easily detectable when examining each asset class in isolation.
Number of Pages in PDF File: 54
Keywords: value effect, momentum, commonality, liquidity risk
JEL Classification: G1, G12, G14, G15
Date posted: March 20, 2009
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