Value and Momentum Everywhere

Asness, Clifford S.; Moskowitz, Tobias J.; Pedersen, Lasse Heje

doi:10.2139/ssrn.1363476

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Value and Momentum Everywhere

AFA 2010 Atlanta Meetings Paper

54 Pages Posted: 20 Mar 2009

See all articles by Clifford S. Asness

Tobias J. Moskowitz

AQR Capital; Yale University, Yale SOM; National Bureau of Economic Research (NBER)

Lasse Heje Pedersen

AQR Capital Management, LLC; Copenhagen Business School - Department of Finance; New York University (NYU); Centre for Economic Policy Research (CEPR)

There are 2 versions of this paper

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

Asness, Cliff S. and Moskowitz, Tobias J. and Moskowitz, Tobias J. and Pedersen, Lasse Heje, Value and Momentum Everywhere (March 6, 2009). AFA 2010 Atlanta Meetings Paper, Available at SSRN: https://ssrn.com/abstract=1363476 or http://dx.doi.org/10.2139/ssrn.1363476