Factor momentum versus price momentum: Insights from international markets

Nusret Cakici, Christian Fieberg, Daniel Metko and Adam Zaremba

Journal of Banking & Finance, 2025, vol. 170, issue C

Abstract: Does factor momentum drive stock price momentum? We examine this relationship across 51 countries. Factor momentum proves strong across many markets and international portfolios, independent of typical return predictability drivers. However, its ability to capture stock momentum profits depends on methodological and dataset choices. Empirical factor momentum cannot entirely subsume stock or industry momentum globally. Conversely, price momentum often better explains its factor counterpart than vice versa. Notably, factor momentum based on principal components is more robust, capturing a major share of price momentum gains in developed and emerging markets. Our findings challenge the view that momentum merely times other factors rather than constituting a distinct anomaly.

Keywords: Factor momentum; Equity anomalies; Return predictability; Factor timing; International stock markets; Principal components; Industry momentum (search for similar items in EconPapers)
JEL-codes: G11 G12 G17 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002462

DOI: 10.1016/j.jbankfin.2024.107332

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