Original paper
Factor Momentum and the Momentum Factor
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...
Paper Details
Title
Factor Momentum and the Momentum Factor
Published Date
Apr 7, 2022
Journal
Volume
77
Issue
3
Pages
1877 - 1919