Factor Momentum and the Momentum Factor

• 成果类型: Article
• 署名作者: Ehsani, Sina; Linnainmaa, Juhani T.
• 署名单位: Northern Illinois University; Dartmouth College; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13131
• 发表日期: 2022
• 页码: 1877-1919
• 关键词: cross-section; market value; time-series; HOT HANDS; STOCK; performance; persistence; returns; strategies; anomalies

摘要

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.