Can factor momentum beat momentum factor? Evidence from China

Ruolan Ouyang, Kun Zhang, Xuan Zhang and Dongming Zhu

Finance Research Letters, 2024, vol. 62, issue PA

Abstract: While existing studies have not detected a significant standard momentum in the A-share market, recent literature has documented several modified momentum factors. Echoing the findings of Ehsani and Linnainmaa (2022), our study identifies strong factor momentum in the A-share market. Factor momentum accounts for all modified momentum factors except for high-priced stock momentum. Interestingly, none of the momentum factors can explain factor momentum. Moreover, combining the high-priced stock momentum with the Chinese three-factor model outperforms other models in explaining 38 of 43 anomalies. Our study suggests that individual stock momentum relates to factor momentum but may differ from it.

Keywords: Chinese A-share market; Factor autocorrelation; Factor momentum; Stock momentum (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000515

DOI: 10.1016/j.frl.2024.105021

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