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Overlapping factor momentum

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  • Liu, Weiyi
  • Zhang, Huachen
  • Wan, Die

Abstract

Previous studies attribute the stock-level overlapping momentum effect to institutional investors' trading behavior. Given their trend-chasing and factor-based strategies, we hypothesize this effect is more pronounced at the factor level. Empirical analysis supports this: long-short overlapping portfolios using common winner and loser factors outperform stock-level portfolios. Factor-level momentum significantly explains stocklevel momentum, but not vice versa. Results exhibit consistent robustness across a range of empirical settings. Our findings emphasize the critical role of factor-level dynamics in understanding overlapping momentum effects.

Suggested Citation

  • Liu, Weiyi & Zhang, Huachen & Wan, Die, 2026. "Overlapping factor momentum," Finance Research Letters, Elsevier, vol. 90(C).
    • Handle: RePEc:eee:finlet:v:90:y:2026:i:c:s154461232502656x
    DOI: 10.1016/j.frl.2025.109407
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    References listed on IDEAS

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