Journal of Finance Vol. 77 No. 3 2022
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 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.
- DOI
- 10.1111/jofi.13131
- Volume
- 77
- Issue
- 3
- Pages
- 1877-1919
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref