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What is Factor Momentum and Stock Returns Analysis about?

The paper examines the concept of momentum in stock returns, revealing that it originates from momentum in factor returns rather than being an independent risk factor. It shows that most factors exhibit positive autocorrelation, leading to profitable momentum strategies, and that stock momentum is essentially a reflection of these autocorrelations across various factors. The findings suggest that momentum strategies are susceptible to changes in factor autocorrelations, which can lead to significant losses

Author

tvroom.3214

Language

EN