A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes

70 Pages Posted: 22 Apr 2016 Last revised: 5 May 2017

See all articles by Ilan Cooper

Ilan Cooper

BI Norwegian Business School

Andreea Mitrache

Toulouse Business School

Richard Priestley

Norwegian Business School

Date Written: May 2017

Abstract

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 and why they are negatively correlated. The global macroeconomic risk factor model also performs well in summarizing the cross section of various additional asset classes. The findings identify the source of the common variation in expected returns across asset classes and countries suggesting that markets are integrated.

Keywords: Value, momentum, global macroeconomic risk, market integration

JEL Classification: G1, G11, G12

Suggested Citation

Cooper, Ilan and Mitrache, Andreea and Priestley, Richard, A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes (May 2017). Available at SSRN: https://ssrn.com/abstract=2768040 or http://dx.doi.org/10.2139/ssrn.2768040

Ilan Cooper

BI Norwegian Business School ( email )

Nydalsveien 37
Oslo, 0442
Norway

Andreea Mitrache (Contact Author)

Toulouse Business School ( email )

20, bd Lascrosses
Toulouse, 31068
France

Richard Priestley

Norwegian Business School ( email )

Nydalsveien
37
N-0442 Oslo, 0283
Norway
47 46410515 (Phone)

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