Factor momentum in the Chinese stock market

Tian Ma, Cunfei Liao and Fuwei Jiang

Journal of Empirical Finance, 2024, vol. 75, issue C

Abstract: Based on 10 commonly used factors, we construct a novel factor momentum strategy in the Chinese stock market, which earns an annualized return of 9.91 %, with a Sharpe ratio of 1.15. Factor momentum subsumes stock momentum, high-priced momentum, and industry momentum, digests its component factors and a variety of anomalies, and represents the momentum anomaly in China. Furthermore, mispricing correction helps explain factor momentum, which produces stronger returns during higher aggregate idiosyncratic volatility periods as well as among stocks with higher information asymmetry and short-sale constraints. Exposure to factor premiums and the manifestation of predictability determine factor momentum in China.

Keywords: Factor momentum; Chinese stock market; Mispricing; Factor premium; Factor timing (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001251

DOI: 10.1016/j.jempfin.2023.101458

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