Systematic Momentum: A New Class of Price Patterns

• 成果类型: Article
• 署名作者: Li, Sophia Zhengzi; Yuan, Peixuan; Zhou, Guofu
• 署名单位: Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; Hong Kong Baptist University; Washington University (WUSTL)
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2024.08236
• 发表日期: 2026
• 关键词: momentum; systematic component; Intraday; Mispricing; Limits to arbitrage

摘要

We uncover a new price pattern: The stock systematic component exhibits momentum. This systematic momentum further yields a return momentum: Stocks sorted by systematic component have persistent positive returns. In comparison with the extremely popular and extensively studied momentum sorted by return, which is valid only monthly, our systematic return momentum holds intraday, daily, weekly, and monthly. Furthermore, our systematic momentum, the strongest ever discovered, is different from the factor momentum sorted by factor performance.