Factor Momentum and the Momentum Factor

76 Pages Posted: 7 Aug 2017 Last revised: 12 May 2020

See all articles by Sina Ehsani

Sina Ehsani

Northern Illinois University

Juhani T. Linnainmaa

Dartmouth College - Tuck School of Business; National Bureau of Economic Research (NBER)

Multiple version iconThere are 2 versions of this paper

Date Written: May 12, 2020

Abstract

Momentum in individual stock returns emanates from momentum in factor returns. Most factors are positively autocorrelated: the average factor earns a monthly return of 6 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 and momentum in firm-specific residuals appears to capture momentum in omitted factors. Our key result is that momentum is not a distinct risk factor; it times other factors.

Keywords: Anomalies; Autocorrelation; Factors; Momentum

JEL Classification: G11; G12; G40

Suggested Citation

Ehsani, Sina and Linnainmaa, Juhani T., Factor Momentum and the Momentum Factor (May 12, 2020). Available at SSRN: https://ssrn.com/abstract=3014521 or http://dx.doi.org/10.2139/ssrn.3014521

Sina Ehsani (Contact Author)

Northern Illinois University ( email )

Chicago, IL 60115
United States

Juhani T. Linnainmaa

Dartmouth College - Tuck School of Business ( email )

Hanover, NH 03755
United States

HOME PAGE: http://www.tuck.dartmouth.edu/faculty/faculty-directory/juhani-linnainmaa

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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