A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes
研究发现价值和动量策略的回报可由全球宏观经济风险因子解释，这些因子能捕捉不同国家和资产类别回报的共同变动，对理解风险溢价和资产配置有参考价值。
Abstract Value and momentum returns and combinations of them across both countries and asset classes are explained by their loadings on global macroeconomic risk factors. These loadings describe why value and momentum have positive return premia, although being negatively correlated. The global macroeconomic risk factors also perform well in capturing the returns on other characteristic-based portfolios. The findings identify a global macroeconomic source of the common variation in returns across countries and asset classes.