momentum strategies. We construct domestic and global factors from a large dataset of macroeconomic and financial variables and … consumption variables drive dollar carry trade payoffs and momentum returns are driven by global commodity and U.S. inflation …

-of-sample test of the performance of carry, momentum and value strategies well documented in the modern era. We find that the … positive carry and momentum returns in currencies over the last thirty years are also present in this earlier period. In … contrast, the returns to a simple value strategy are negative. In addition, we benchmark the rules-based carry and momentum …

variation in average returns on size-book/market portfolios and up to 95% of momentum returns and the pricing errors on both …Value and momentum portfolios exhibit strong opposite signed exposure to an aggregate risk factor based on low … momentum to the income shares of households in the top 10 versus bottom 90 percent of the stock wealth distribution. We use a …