A reexamination of factor momentum: How strong is it?

Minyou Fan, Youwei Li, Ming Liao and Jiadong Liu

The Financial Review, 2022, vol. 57, issue 3, 585-615

Abstract: Recent studies show that most financial market anomalies exhibit a momentum effect. Based on two datasets, (i) an original 22‐factor sample and (ii) a more comprehensive 187‐factor sample, we find that factor momentum effect is weak at the individual factor level. In both samples, only about 22%– 27% of the factors exhibit strong return continuation and dominate the factor momentum portfolio while the remaining factors do not. The factor momentum strategies do not outperform the corresponding long‐only strategies in either sample. The choice of factors affects the ability of factor momentum to explain individual stock momentum.

Date: 2022
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