Cross-stock momentum and factor momentum

• 成果类型: Article
• 署名作者: Yan, Jingda; Yu, Jialin
• 署名单位: Renmin University of China; Hong Kong University of Science & Technology
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.103716
• 发表日期: 2023
• 关键词: Cross-stock momentum; Asymmetric cross-autocorrelation; Factor momentum; Time-varying linkage; network

摘要

Cross-stock momentum builds on the asymmetry in lead-lag linkages and the difference between long-run and short-run contemporaneous co-movements. Data-driven cross-stock linkages generate a monthly alpha of 1.62% (t-stat=10.03). The asymmetry distinguishes cross-stock momentum from factor momentum, and industry momentum is not subsumed by factor momentum. Factor momentum profit is mostly due to the high cross-stock links. The data-driven linkages vary faster over time than those in previous studies because short-run comovements incorporate persistent linkages.