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 defined 49 industries as in Fama and French (1994a) and Asness and Stevens and
constructed intraindustry measures of log(BV/MV) and D/P. Thus, on our scale, a value stock is …

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 …

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 …

… 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 …

… Asness is managing and founding principal at AQR Capital Management, LLC, Greenwich,
Connecticut. Andrea Frazzini is vice president at AQR Capital Management, LLC, Greenwich…

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 …

… ASNESS is a managing these variables to explain the cross-section of … Jegadeesh and
Titman [1993] and Asness [1995] find a significant momentum effect in individual stock returns in …

… I show in Asness [2000] that this relationship, although laced with econometric difficulties, …
16In Asness [2000], I show some short-term forecasting success for a modified Fed model that …