Factor Momentum and the Momentum Factor

Sina Ehsani and Juhani T. Linnainmaa

No 25551, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Momentum in individual stock returns emanates from momentum in factor returns. Most factors are positively autocorrelated: the average factor earns a monthly return of 1 basis point following a year of losses and 53 basis points following a positive year. Factor momentum explains all forms of individual stock momentum. Stock momentum strategies indirectly time factors: they profit when the factors remain autocorrelated, and crash when these autocorrelations break down. Our key result is that momentum is not a distinct risk factor; it aggregates the autocorrelations found in all other factors.

JEL-codes: G11 G12 G40 (search for similar items in EconPapers)
Date: 2019-02
New Economics Papers: this item is included in nep-fmk
Note: AP
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Citations: View citations in EconPapers (16)

Published as SINA EHSANI & JUHANI T. LINNAINMAA, 2022. "Factor Momentum and the Momentum Factor," The Journal of Finance, vol 77(3), pages 1877-1919.

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