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Return
Factor Momentum
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PRE
AI
DOI：10.1093/rfs/hhad006.png)
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Abstract
En 中文
Factors display strong cross-sectional momentum that subsumes momentum in industries and other portfolio characteristics. The profits of all these momentum strategies-based on factors, industries, and other characteristics-significantly correlate with each other and therefore likely emanate from the same source. If factors display momentum, so will any set of portfolios with cross-sectional variation in factor loadings. Consistent with factors being at the root of momentum, we find that momentum in industry-neutral factors explains industry momentum, but industry momentum explains none of the factor momentum. Cross-sectional factor momentum concentrates in the first few highest-eigenvalue factors and is distinct from time-series factor momentum. Authors have furnished an , which is available on the Oxford University Press Web site next to the link to the final published paper online.
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