A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes
59 Pages Posted: 22 Apr 2016 Last revised: 5 Aug 2019
Date Written: August , 2019
Value and momentum returns and combinations of them are explained by their loadings on global macroeconomic risk factors across both countries and asset classes. These loadings describe why value and momentum have positive return premia whilst at the same time being negatively correlated. The global macroeconomic risk factor model also performs well in capturing the return premia on other factors that have been constructed to explain various cross-sections of assets. The findings identify a macroeconomic source of the common variation in return premia across asset classes and countries.
Keywords: value, momentum, global macroeconomic risk
JEL Classification: G1, G11, G12
Suggested Citation: Suggested Citation