Value and Momentum Everywhere

  • CLIFFORD S. ASNESS, TOBIAS J. MOSKOWITZ, +13 authors Ari S Levine
  • Published 2008

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… (More)

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