A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes
56 Pages Posted: 22 Apr 2016 Last revised: 7 Jul 2020
Date Written: August 1, 2019
Value and momentum returns and combinations of them are explained by their loadings on global macroeconomic risk factors across both countries and asset classes. These loadings describe why value and momentum have positive return premia while at the same time 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 asset classes and countries.
Keywords: value, momentum, global macroeconomic risk
JEL Classification: G1, G11, G12
Suggested Citation: Suggested Citation