| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25551 |
| 来源ID | Working Paper 25551 |
| Factor Momentum and the Momentum Factor | |
| Sina Ehsani; Juhani T. Linnainmaa | |
| 发表日期 | 2019-02-18 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Behavioral Finance |
| URL | https://www.nber.org/papers/w25551 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/583225 |
| 推荐引用方式 GB/T 7714 | Sina Ehsani,Juhani T. Linnainmaa. Factor Momentum and the Momentum Factor. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25551.pdf（696KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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