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.

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