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Monthly Archives: July 2015

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Value and Momentum are Correlated

Momentum Facts, Momentum ResearchBy adminJuly 17, 2015Leave a comment

One of the most popular research papers on momentum is “Value and Momentum Everywhere” by Asness, Moskowitz, and Pedersen. I have an earlier post that discussed that paper. However, one important item slipped by me then. It was a statement by the authors that value and momentum premiums are negatively correlated. They cited a negative monthly…

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