Review of Financial Studies Vol. 36 No. 8 2023
Factor Momentum
Abstract
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.
- DOI
- 10.1093/rfs/hhad006
- Volume
- 36
- Issue
- 8
- Pages
- 3034-3070
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref