A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes Article Swipe

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Momentum (technical analysis) Economics Asset (computer security) Capital asset pricing model Econometrics Financial economics Value (mathematics) Risk premium Asset allocation Value at risk Monetary economics Finance Mathematics Risk management Statistics Portfolio Computer science Computer security

Ilan Cooper , Andreea Mitrache , Richard Priestley ·

YOU? · · 2020 · Open Access · · DOI: https://doi.org/10.1017/s0022109020000824 · OA: W3124747293

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.