Value and Momentum Everywhere
54 Pages Posted: 20 Mar 2009
There are 2 versions of this paper
Value and Momentum Everywhere
Value and Momentum Everywhere
Date Written: March 6, 2009
Abstract
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.
Keywords: value effect, momentum, commonality, liquidity risk
JEL Classification: G1, G12, G14, G15
Suggested Citation: Suggested Citation
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