Factor momentum produces robust average returns that exhibit a similar economic magnitude as stock price momentum. To the extent that the post-earnings announcement drift (PEAD) factor captures mispricing, winner factors earn profits from being long on underpriced stocks and short on overpriced stocks. Conversely, loser-factors’ negative exposure to the PEAD factor suggests that loser factors capture mispricing by being long on overpriced stocks and short on underpriced stocks. Option-implied volatility scaling increases both the economic magnitude and statistical significance of factor momentum. Factor momentum is not exposed to the same crashes as stock price momentum and therefore could provide a hedge for stock price momentum crash risks. Also, factor momentum mispricing is more pronounced when investor sentiment is high.

因子动量产生强劲的平均回报，表现出与股价动量相似的经济规模。就收益后公告漂移 (PEAD) 因素捕获错误定价而言，赢家因素通过做多定价过低的股票和做空定价过高的股票来赚取利润。相反，输家因素对 PEAD 因子的负面影响表明，输家因素通过做多定价过高的股票和做空定价过低的股票来捕捉错误定价。期权隐含的波动率缩放增加了因子动量的经济规模和统计显着性。因子动量不会像股价动量那样遭受同样的崩盘，因此可以为股价动量崩盘风险提供对冲。此外，当投资者情绪高涨时，因子动量错误定价更为明显。