Value and Momentum Everywhere

Clifford S. Asness, Tobias J. Moskowitz, Lasse Heje Pedersen · 2013 · The Journal of Finance

IntermediateLFTEmpiricalFree to read

Value and momentum premia show up in eight markets and asset classes and are negatively correlated with each other, so combine them.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: LFT
Data needed: Daily bars Set what data you have
Themes: Factors & momentum
Assets: Multi-asset
Market: Global

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Low-frequency factors and momentum

← Time series momentumMomentum crashes →

Cite

@article{asness2013value,
  author = {Asness, Clifford S. and Moskowitz, Tobias J. and Pedersen, Lasse Heje},
  title = {{Value and Momentum Everywhere}},
  journal = {The Journal of Finance},
  year = {2013},
  doi = {10.1111/jofi.12021}
}

Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and Momentum Everywhere. The Journal of Finance. https://doi.org/10.1111/jofi.12021