Factor Momentum

• 成果类型: Article
• 署名作者: Arnott, Robert D.; Kalesnik, Vitali; Linnainmaa, Juhani T.
• 署名单位: Dartmouth College; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhad006
• 发表日期: 2023
• 页码: 3034
• 关键词: cross-section; DELISTING BIAS; time-series; STOCK; returns

摘要

Factors display strong cross-sectional momentum that subsumes momentum in industries and other portfolio characteristics. The profits of all these momentum strategies-based on factors, industries, and other characteristics-significantly correlate with each other and therefore likely emanate from the same source. If factors display momentum, so will any set of portfolios with cross-sectional variation in factor loadings. Consistent with factors being at the root of momentum, we find that momentum in industry-neutral factors explains industry momentum, but industry momentum explains none of the factor momentum. Cross-sectional factor momentum concentrates in the first few highest-eigenvalue factors and is distinct from time-series factor momentum. Authors have furnished an , which is available on the Oxford University Press Web site next to the link to the final published paper online.