Factor Momentum and the Momentum Factor

Sina Ehsani, Juhani T. LinnainmaaFinance资产定价UTD24

Journal of Finance2022-04-07Dartmouth CollegeDOI

Citations204

ABSTRACT Momentum in individual stock returns relates to momentum in factor returns. Most factors are positively autocorrelated: the average factor earns a monthly return of six basis points following a year of losses and 51 basis points following a positive year. We find that factor momentum concentrates in factors that explain more of the cross section of returns and that it is not incidental to individual stock momentum: momentum‐neutral factors display more momentum. Momentum found in high‐eigenvalue principal component factors subsumes most forms of individual stock momentum. Our results suggest that momentum is not a distinct risk factor—it times other factors.

Momentum (technical analysis)Stock (firearms)PhysicsEconometricsEconomicsFinancial economicsGeographyFinancial Markets and Investment StrategiesCorporate Finance and GovernanceAuditing, Earnings Management, Governance