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THE JOURNAL OF FINANCE • VOL. LXVIII, NO. 3 • JUNE 2013
Value and Momentum Everywhere
CLIFFORD S. ASNESS, TOBIAS J. MOSKOWITZ, and LASSE HEJE PEDERSEN
ABSTRACT
We find consistent value and momentum return premia across eight diverse markets
and asset classes, and a strong common factor structure among their returns. Value
and momentum returns correlate more strongly across asset classes than passive
exposures to the asset classes, but value and momentum are negatively correlated
with each other, both within and across asset classes. Our results indicate the presence of common global risks that we characterize with a three-factor model. Global funding liquidity risk is a partial source of these patterns, which are identifiable only when examining value and momentum jointly across markets. Our findings present a challenge to existing behavioral, institutional, and rational asset pricing theories that largely focus on U.S. equities.