GLOBAL RISK FACTORS

Value and Momentum Everywhere, Cliff Asness, Tobias Moskowitz, and Lasse Heje Pedersen (2013), The Journal of Finance 68(3), 929-985.

Time Series Momentum,
 Tobias Moskowitz, Yao Hua Ooi, and Lasse Heje Pedersen (2012), Journal of Financial Economics 104(2), 228-250. Lead paper 


Betting Against Beta, Andrea Frazzini and Lasse Heje Pedersen (2014), Journal of Financial Economics 111(1), 1-25. 


Quality Minus Junk, Cliff Asness, Andrea Frazzini, and Lasse Heje Pedersen (2012).


Carry,  Ralph Koijen, Tobias Moskowitz, Lasse H. Pedersen, and Evert Vrugt (2018)Journal of Financial Economics, 127 (2), 197-225Lead paper

CARRY factors: original and updatedfrom Ralph Koijen's data page

More data  including updated data for VME, TSMOM, BAB, and QMJ – available at the AQR data library
   

OTHER DATA

Margin-Based Asset Pricing and Deviations from the Law of One Price, Nicolae Garleanu and Lasse Heje Pedersen (2011), The Review of Financial Studies 24(6), 1980- 2022.


Measuring Systemic Risk, Viral Acharya, Lasse Heje Pedersen, Thomas Philippon, and Matt Richardson (2017).