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- W4226129903 abstract "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 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." @default.
- W4226129903 created "2022-05-05" @default.
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- W4226129903 date "2022-04-22" @default.
- W4226129903 modified "2023-10-17" @default.
- W4226129903 title "Factor Momentum and the Momentum Factor" @default.
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- W4226129903 doi "https://doi.org/10.1111/jofi.13131" @default.
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