We find consistent value and momentum return premia across eight diverse markets and asset
classes, and a strong common factor structure among their returns. Value and momentum …

We define quality as characteristics that investors should be willing to pay a higher price for.
Theoretically, we provide a tractable valuation model that shows how stock prices should …

Value and momentum strategies both have demonstrated power to predict the cross-section
of stock returns, but are these strategies related? Measures of momentum and value are …

The size premium has been accused of having a weak historical record, being meager
relative to other factors, varying significantly over time, weakening after its discovery, being …

… Clifford S. Asness is managing and founding principal and Andrea Frazzini is a principal at
AQR Capital Management, LLC, Greenwich, Connecticut. Lasse H. Pedersen is a professor …

We investigate whether dividend policy, as observed in the payout ratio of the US equity
market portfolio, forecasts future aggregate earnings growth. The historical evidence strongly …

Clifford Asness the functional form of the relationship. 2 The basic widespread core belief
implied by the Fed model, though, is that the stock market’s E/P must be compared to Y, and …

In addition to attractive returns, many hedge funds claim to provide significant diversification
for traditional portfolios. This paper empirically examines the return and diversification …

… On this dimension, therefore, FI is somewhere between Fama and French and Asness and
Frazzini. Here is what happens when we add the Asness and Frazzini [2013] version of HML (…

… knowledge,” Asness is quick to assert. … ,” Asness states. “It’s fair to say our method works
better because of more-timely data, but ONLY when using both value and momentum,” Asness …