A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes
Journal article, Peer reviewed
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- Scientific articles 
Original versionJournal of Financial and Quantitative Analysis , Volume 57 , Issue 1 , February 2022 , pp. 1 - 30 https://doi.org/10.1017/S0022109020000824
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.