Why do value and momentum strategies work?

I’ve just read a really interesting pre-publication paper from Dimitri Vayanos and Paul Woolley called “New Light on Choice of Investment Strategy”. It’s available online. It aims to explain the ability for┬ámomentum and value investment strategies to generate returns, while retaining the assumption of rationality. It does this largely by discussing intermediation. It seems a smart addition to the debate in this area, and a useful input to the work I’m doing in support of the Kay Review.