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Factor Momentum and the Momentum Factor / Sina Ehsani, Juhani T. Linnainmaa.
- Format:
- Book
- Author/Creator:
- Ehsani, Sina.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w25551.
- NBER working paper series no. w25551
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2019.
- Summary:
- 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.
- Notes:
- Print version record
- February 2019.
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