The Changing Beta of Value and Momentum Stocks
Posted: 21 Sep 2009 Last revised: 7 Apr 2010
Date Written: June 30, 2009
Recently, alpha and risk factor volatility have reached extremes. In this study we examine the risk and return relationships of value and momentum, which we believe have shifted. We find that market risk, or beta, correlations for both factors have reversed and have resulted to changes and magnifications of return relationships. Decomposing these interactions allows us to better understand the underlying risks of portfolios constructed using value or momentum signals in their alpha or risk models.
Keywords: beta, value, momentum
JEL Classification: G1
Suggested Citation: Suggested Citation