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Factor Momentum
The Review of Financial Studies ( IF 6.8 ) Pub Date : 2023-01-14 , DOI: 10.1093/rfs/hhad006
Robert D Arnott 1 , Vitali Kalesnik 1 , Juhani T Linnainmaa 2
Affiliation  

Factors display strong cross-sectional momentum that subsumes momentum in industries and other portfolio characteristics. The profits of all these momentum strategies—based on factors, industries, and other characteristics—significantly correlate with each other and therefore likely emanate from the same source. If factors display momentum, so will any set of portfolios with cross-sectional variation in factor loadings. Consistent with factors being at the root of momentum, we find that momentum in industry-neutral factors explains industry momentum, but industry momentum explains none of the factor momentum. Cross-sectional factor momentum concentrates in the first few highest-eigenvalue factors and is distinct from time-series factor momentum.

中文翻译:

因子动量

因素显示出强大的横截面动能,包含行业动能和其他投资组合特征。所有这些基于因素、行业和其他特征的动量策略的利润彼此显着相关,因此可能来自同一来源。如果因子显示动量,那么任何一组具有横截面因子负载变化的投资组合也将显示动量。与作为动量根源的因素一致,我们发现行业中性因素中的动量可以解释行业动量,但行业动量不能解释任何因素动量。横截面因子动量集中在前几个最高特征值因子中,与时间序列因子动量不同。
更新日期:2023-01-14
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