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Generalized momentum
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DOI：10.1016/j.econlet.2026.112878.png)
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Abstract
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This paper introduces generalized momentum which features flexibility when determining past stock performance. Generalized momentum yields abnormal returns both in raw returns and risk-adjusted returns in the US stock market throughout 35 years. These anomalous returns are most pronounced among high-risk profile stocks, that is essentially smaller stocks with higher book-to-market ratio. Generalized momentum returns are robust to the Carhart (1997) four-factor model. This result lets us conclude that generalized momentum returns could serve as an alternative to Carhart's (1997) momentum factor. The return performance of generalized momentum is also robust to both value-weighting and alternative size breakpoints.
Keywords:
Momentum
Seasonalities
Return auto-correlation
Investment strategy
Performance attribution
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