Asness is at AQR Capital Management; Moskowitz is at the University of Chicago Booth School of Business and NBER and is a consultant to AQR Capital; and Pedersen is at the New York University Stern School of Business, Copenhagen Business School, AQR, CEPR, FRIC, and NBER. We thank Aaron Brown, John Cochrane, Kent Daniel, Gene Fama, Kenneth French, Cam Harvey (the Editor), Ronen Israel, Robert Krail, John Liew, Harry Mamaysky, Michael Mendelson, Stefan Nagel, Lars Nielsen, Otto Van Hemert, Jeff Wurgler, and an anonymous referee for helpful comments, as well as seminar participants at the University of Chicago, Princeton University, Duke University, the Danish Society of Financial Analysts with Henrik Amilon and Asbjørn Trolle as discussants, and the NBER Summer Institute Asset Pricing Meetings with Kent Daniel as a discussant. We also thank Gunner Arnson, Radhika Gupta, Kelvin Hu, Sarah Jiang, Adam Klein, Ari Levine, Len Lorilla, Wes McKinney, and Karthik Sridharan for research assistance. AQR Capital invests in, among other things, value and momentum strategies. The views expressed here are those of the authors and not necessarily those of any affiliated institution.
Value and Momentum Everywhere
Version of Record online: 20 MAY 2013
© 2013 the American Finance Association
The Journal of Finance
Volume 68, Issue 3, pages 929–985, June 2013
How to Cite
ASNESS, C. S., MOSKOWITZ, T. J. and PEDERSEN, L. H. (2013), Value and Momentum Everywhere. The Journal of Finance, 68: 929–985. doi: 10.1111/jofi.12021
- Issue online: 20 MAY 2013
- Version of Record online: 20 MAY 2013
- Accepted manuscript online: 30 JAN 2013 12:00AM EST
- Manuscript Accepted: 20 DEC 2012
- Manuscript Received: 26 JUN 2009
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