Value and Momentum Everywhere: Value and Momentum Everywhere

By Clifford S. Asness, Tobias J. Moskowitz, Lasse Heje Pedersen. 2013

2,035 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3dc135ce8cbc730992d5b1a084314e0538b127d8

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Citations in the corpus

Conditional Risk Premia in Currency Markets and Other Asset Classes (2014, neutral): “In recent and ongoing research Asness, Moskowitz, and Pedersen (2013), Frazzini and Pedersen (2014), and Koijen, Moskowitz, Pedersen, and Vrugt (2013) find that a number of cross-sectional phenomena such as value, carry, momentum, and the slope of the unconditional CAPMbased security market line…”
Pairs trading in the UK equity market: risk and return (2016, positive): “Asness, Moskowitz, and Pedersen (2013) suggest that liquidity risk may be an important common component of value and momentum, and, help explain why value and momentum are negatively correlated.”
Who Are the Value and Growth Investors (2017, neutral): “Growth stocks can 3See for instance Asness, Moskowitz, and Pedersen (2013), Capaul, Rowley, and Sharpe (1993), Fame and French (1998, 2012), Griffin (2003), and Liew and Vassalou (2000).”
Tail risk premia and return predictability (2014, neutral): “The returns on portfolios comprised of growth stocks have previously been related to measures of funding liquidity risk (e.g., Asness, Moskowitz, and Pedersen, 2013).”
Time Series Momentum (2012, methodology): “Panel B of Table 3 repeats the regressions using the Asness, Moskowitz, and Pedersen (2010) value and momentum ‘‘everywhere’’ factors (i.e., factors diversified across asset classes) in place of the Fama and French factors.”
Overconfident Investors, Predictable Returns, and Excessive Trading (2015, neutral): “Asness, Moskowitz, and Pedersen (2013), among many others, document strong value and momentum anomalies in non-US data and in other asset classes including currencies, commodity futures, and government bonds.”
Is momentum really momentum (2012, methodology): “Using a quintile sort, or the rank-weighting procedure employed by Asness, Moskowitz, and Pedersen (2008), yields qualitatively identical results.”
The History of the Cross Section of Stock Returns (2016, positive): “Asness et al. (2013b) examine the predictive power of this composite measure using return data from 1956 to 2012.”