Category: Research Value Factor

This 2013 article by Asness, Moskowitz and Pedersen finds consistent value and momentum return premia across eight diverse markets and asset classes. Also shows is that value and momentum are negatively correlated with each other, both within and across asset classes.

This 1997 paper by Eugene Fama and Ken French shows that value stocks have higher returns than growth stocks in markets around the world. For 1975-1995, the difference between the average returns on global portfolios of high and low book-to-market stocks is 7.60% per year, and value stocks outperform growth stocks in 12 of 13 major markets.

This well-known 1992 paper by Eugene Fama and Ken French puts forward a model explaining US equity market returns with three factors: “the “market” (based on the traditional CAPM model), the size factor (small vs. large capitalization stocks) an the value factor (high vs. low book-to-market).