Cross-stock momentum and factor momentum

Jingda Yan and Jialin Yu

Journal of Financial Economics, 2023, vol. 150, issue 2

Abstract: Cross-stock momentum builds on the asymmetry in lead-lag linkages and the difference between long-run and short-run contemporaneous co-movements. Data-driven cross-stock linkages generate a monthly alpha of 1.62% (t-stat=10.03). The asymmetry distinguishes cross-stock momentum from factor momentum, and industry momentum is not subsumed by factor momentum. Factor momentum profit is mostly due to the high cross-stock links. The data-driven linkages vary faster over time than those in previous studies because short-run co-movements incorporate persistent linkages.

Keywords: Cross-stock momentum; Asymmetric cross-autocorrelation; Factor momentum; Time-varying linkage; Network (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 L14 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:150:y:2023:i:2:s0304405x23001563

DOI: 10.1016/j.jfineco.2023.103716

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