Value and Momentum Everywhere
研究了八个不同市场和资产类别中价值与动量回报溢价的一致性，发现两者存在共同因子结构且负相关，全球融资流动性风险是部分原因，对现有资产定价理论提出挑战。
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.