Cross-stock momentum and factor momentum

被引：1
|
作者：
Yan, Jingda [1 ]
Yu, Jialin [2 ]
机构：
[1] Renmin Univ China, Sch Business, 59 Zhongguancun St, Beijing 100872, Peoples R China
[2] Hong Kong Univ Sci & Technol, Dept Finance, Room 5069,Lee Shau Kee Business Bldg,Clear Water B, Hong Kong, Peoples R China
来源：
JOURNAL OF FINANCIAL ECONOMICS | 2023年 / 150卷 / 02期
关键词：
Cross-stock momentum; Asymmetric cross-autocorrelation; Factor momentum; Time-varying linkage; Network; PREDICTABILITY; SECTION; RETURN; LINKS; RISK;
D O I：
10.1016/j.jfineco.2023.103716
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Cross-stock momentum builds on the asymmetry in lead-lag linkages and the difference between long-run and short-run contemporaneous co-movements. Data-driven cross-stock linkages generate a monthly alpha of 1.62% (t-stat=10.03). The asymmetry distinguishes cross-stock momentum from factor momentum, and industry momentum is not subsumed by factor momentum. Factor momentum profit is mostly due to the high cross-stock links. The data-driven linkages vary faster over time than those in previous studies because short-run comovements incorporate persistent linkages.
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页数：14
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