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Can factor momentum beat momentum factor? Evidence from China

Author

Listed:
  • Ouyang, Ruolan
  • Zhang, Kun
  • Zhang, Xuan
  • Zhu, Dongming

Abstract

While existing studies have not detected a significant standard momentum in the A-share market, recent literature has documented several modified momentum factors. Echoing the findings of Ehsani and Linnainmaa (2022), our study identifies strong factor momentum in the A-share market. Factor momentum accounts for all modified momentum factors except for high-priced stock momentum. Interestingly, none of the momentum factors can explain factor momentum. Moreover, combining the high-priced stock momentum with the Chinese three-factor model outperforms other models in explaining 38 of 43 anomalies. Our study suggests that individual stock momentum relates to factor momentum but may differ from it.

Suggested Citation

  • Ouyang, Ruolan & Zhang, Kun & Zhang, Xuan & Zhu, Dongming, 2024. "Can factor momentum beat momentum factor? Evidence from China," Finance Research Letters, Elsevier, vol. 62(PA).
    • Handle: RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000515
    DOI: 10.1016/j.frl.2024.105021
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