Value and Momentum Everywhere
Value and Momentum Everywhere
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DOI：
10.1111/jofi.12021
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发表时间：
2013-06-01
影响因子：
8
通讯作者：
Pedersen, Lasse Heje
中科院分区：
文献类型：
--
作者：
Asness, Clifford S.;Moskowitz, Tobias J.;Pedersen, Lasse Heje
我们发现，在八个不同的市场和资产类别中，价值和动量回报溢价是一致的，它们的回报之间存在着强大的公因子结构。与被动暴露于资产类别相比，价值和动量回报在资产类别之间的相关性更强，但价值和动量彼此呈负相关，无论是在资产类别内部还是在资产类别之间。我们的研究结果表明，存在共同的全球风险，我们的特征与三因素模型。全球融资流动性风险是这些模式的部分来源，只有在跨市场联合检查价值和动量时才能识别。我们的研究结果对现有的主要关注美国股票的行为、制度和理性资产定价理论提出了挑战。
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.