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Cross-stock momentum and factor momentum

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  • Yan, Jingda
  • Yu, Jialin

Abstract

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 co-movements incorporate persistent linkages.

Suggested Citation

  • Yan, Jingda & Yu, Jialin, 2023. "Cross-stock momentum and factor momentum," Journal of Financial Economics, Elsevier, vol. 150(2).
    • Handle: RePEc:eee:jfinec:v:150:y:2023:i:2:s0304405x23001563
    DOI: 10.1016/j.jfineco.2023.103716
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    More about this item

    Keywords

    Cross-stock momentum; Asymmetric cross-autocorrelation; Factor momentum; Time-varying linkage; Network;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • L14 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Transactional Relationships; Contracts and Reputation

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