A reexamination of factor momentum: How strong is it?

Citations

Cited by:

1. Yan, Jingda & Yu, Jialin, 2023. "Cross-stock momentum and factor momentum," Journal of Financial Economics, Elsevier, vol. 150(2).
2. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
3. Cui, Mengqi & Li, Daye, 2024. "A four-factor model based on factor momentum," Pacific-Basin Finance Journal, Elsevier, vol. 87(C).
4. Cakici, Nusret & Fieberg, Christian & Metko, Daniel & Zaremba, Adam, 2023. "Machine learning goes global: Cross-sectional return predictability in international stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 155(C).
5. 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).
6. Ma, Tian & Sheng, Haoyun & Wang, Yuejie, 2024. "Noisy market, machine learning and fundamental momentum," Pacific-Basin Finance Journal, Elsevier, vol. 86(C).
7. Fan, Minyou & Kearney, Fearghal & Li, Youwei & Liu, Jiadong, 2022. "Momentum and the Cross-section of Stock Volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
   • Fan, Minyou & Kearney, Fearghal & Li, Youwei & Liu, Jiadong, 2020. "Momentum and the Cross-Section of Stock Volatility," QBS Working Paper Series 2020/01, Queen's University Belfast, Queen's Business School.
8. Leland E. Farmer & Lawrence Schmidt & Allan Timmermann, 2023. "Pockets of Predictability," Journal of Finance, American Finance Association, vol. 78(3), pages 1279-1341, June.
   • Timmermann, Allan & Farmer, Leland E. & Schmidt, Lawrence, 2018. "Pockets of Predictability," CEPR Discussion Papers 12885, C.E.P.R. Discussion Papers.
9. Hao Shi & Weili Song & Xinting Zhang & Jiahe Shi & Cuicui Luo & Xiang Ao & Hamid Arian & Luis Seco, 2024. "AlphaForge: A Framework to Mine and Dynamically Combine Formulaic Alpha Factors," Papers 2406.18394, arXiv.org, revised Dec 2024.
10. VICTOR DeMIGUEL & ALBERTO MARTÍN‐UTRERA & RAMAN UPPAL, 2024. "A Multifactor Perspective on Volatility‐Managed Portfolios," Journal of Finance, American Finance Association, vol. 79(6), pages 3859-3891, December.
11. Yang, Jinyu & Xia, Guoen & Dong, Dayong, 2024. "Placebo in the random walk of stock price: Momentum effect of corporate site visits," Research in International Business and Finance, Elsevier, vol. 70(PB).
12. Anginer, Deniz & Ray, Sugata & Seyhun, H. Nejat & Xu, Luqi, 2024. "Expensive anomalies," Journal of Empirical Finance, Elsevier, vol. 75(C).
13. Mercik, Aleksander & Cupriak, Daniel & Zaremba, Adam, 2023. "Factor seasonalities: International and further evidence," Finance Research Letters, Elsevier, vol. 58(PA).
14. Pankaj Agrrawal, 2023. "The Gibbons, Ross, and Shanken Test for Portfolio Efficiency: A Note Based on Its Trigonometric Properties," Mathematics, MDPI, vol. 11(9), pages 1-19, May.
15. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda & Melin, Olena, 2023. "Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds," Journal of Econometrics, Elsevier, vol. 236(1).
16. Liu, Yangyi & Luo, Ronghua & Zhao, Senyang, 2023. "Improving factor momentum: Statistical significance matters," Economics Letters, Elsevier, vol. 233(C).
17. Tobias Wiest, 2023. "Momentum: what do we know 30 years after Jegadeesh and Titman’s seminal paper?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 95-114, March.
18. Zhang, Yu & Kappou, Konstantina & Urquhart, Andrew, 2024. "Macroeconomic momentum and cross-sectional equity market indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
19. Adhikari, Niroj & Bhandari, Ramesh & Joshi, Prajwol, 2024. "Thermal analysis of lithium-ion battery of electric vehicle using different cooling medium," Applied Energy, Elsevier, vol. 360(C).
20. Lee, Tae Kyun & Sohn, So Young, 2023. "Alpha-factor integrated risk parity portfolio strategy in global equity fund of funds," International Review of Financial Analysis, Elsevier, vol. 88(C).
21. Qingyuan Han, 2025. "Understanding price momentum, market fluctuations, and crashes: insights from the extended Samuelson model," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-37, December.
22. Assoe, Kodjovi & Attig, Najah & Sy, Oumar, 2024. "The battle of factors," Global Finance Journal, Elsevier, vol. 62(C).
23. Ma, Tian & Liao, Cunfei & Jiang, Fuwei, 2024. "Factor momentum in the Chinese stock market," Journal of Empirical Finance, Elsevier, vol. 75(C).
24. Kim, Junyong, 2024. "Zoom in on momentum," International Review of Financial Analysis, Elsevier, vol. 94(C).
25. Tian Ma & Cunfei Liao & Fuwei Jiang, 2023. "Timing the factor zoo via deep learning: Evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(1), pages 485-505, March.
26. Haixiang Yao & Shenghao Xia & Hao Liu, 2024. "Return predictability via an long short‐term memory‐based cross‐section factor model: Evidence from Chinese stock market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1770-1794, September.
27. Lee, Geul & Ryu, Doojin, 2024. "Investor sentiment or information content? A simple test for investor sentiment proxies," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
28. Zaremba, Adam & Cakici, Nusret & Bianchi, Robert J. & Long, Huaigang, 2023. "Interest rate changes and the cross-section of global equity returns," Journal of Economic Dynamics and Control, Elsevier, vol. 147(C).