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 …

Clifford S. Asness, Jacques A. Friedman, Robert J. Krail, and John M. Liew si m fo ea po ve
w st re o st le de an po an ti va w gr th fir va E m to gr w ar sp tion for the value spread, we …

… log(BV/MV) or D/P, we subtracted the value-weighted average of the log(BV/MV)s or D/Ps
for that firm’s industry. We defined 49 industries as in Fama and French (1994a) and Asness …

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 …

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

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

The authors show that leverage aversion changes the predictions of modern portfolio theory:
Safer assets must offer higher risk-adjusted returns than riskier assets. Consuming the high …

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 …

… of HML as per Kenneth French’s data for objectivity and to make it easy for the reader to
replicate the results, but we note that using the definition of value in Asness and Frazzini (2013) …