Another Look at Value and Momentum: Volatility Spillovers

@article{Grobys2019AnotherLA,
  title={Another Look at Value and Momentum: Volatility Spillovers},
  author={Klaus Grobys and Sami V{\"a}h{\"a}maa},
  journal={Econometric Modeling: Capital Markets - Asset Pricing eJournal},
  year={2019}
}
This paper examines volatility interdependencies between value and momentum returns. Using U.S. data over the period 1926-2015, we document persistent periods of low and high volatility spillovers between value and momentum strategies. Moreover, we find that the intensity of the volatility spillovers may change substantially in very short periods of time and that these shifts in spillover intensity can be linked to prominent economic events and financial market turmoil. Our results further… Expand
On the Stability of Stablecoins

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Value and Momentum Everywhere
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