A Close Look At Value & Momentum

Two of the most studied capital market phenomena are the value effect, where value stocks outperform growth stocks; and the momentum effect, where recent relative performance predicts near-term returns.

Clifford Asness, Tobias Moskowitz and Lasse Pedersen add to the body of literature on this topic with their paper, “Value and Momentum Everywhere.” The study, which appeared last year in The Journal of Finance, examined the value and momentum effects across eight different markets and asset classes—individual stocks in the U.S., the U.K., continental Europe and Japan, as well as country equity index futures, government bonds, currencies and commodity futures.

Read the rest of the article at ETF.com.