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A reexamination of factor momentum: How strong is it?

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Cited by:

  1. 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).
  2. 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).
  3. Leland E. Farmer & Lawrence Schmidt & Allan Timmermann, 2023. "Pockets of Predictability," Journal of Finance, American Finance Association, vol. 78(3), pages 1279-1341, June.
  4. 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.
  5. Yan, Jingda & Yu, Jialin, 2023. "Cross-stock momentum and factor momentum," Journal of Financial Economics, Elsevier, vol. 150(2).
  6. Shi, Huai-Long & Chen, Huayi, 2025. "Quantile return connectedness of theme factors and portfolio implications: Evidence from the US and China," Global Finance Journal, Elsevier, vol. 64(C).
  7. Tomtosov, Aleksandr, 2024. "Momentum on historical high," Finance Research Letters, Elsevier, vol. 69(PB).
  8. 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).
  9. Liu, Yangyi & Luo, Ronghua & Zhao, Senyang, 2023. "Improving factor momentum: Statistical significance matters," Economics Letters, Elsevier, vol. 233(C).
  10. Cakici, Nusret & Fieberg, Christian & Metko, Daniel & Zaremba, Adam, 2025. "Factor momentum versus price momentum: Insights from international markets," Journal of Banking & Finance, Elsevier, vol. 170(C).
  11. 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).
  12. 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.
  13. 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).
  14. Anginer, Deniz & Ray, Sugata & Seyhun, H. Nejat & Xu, Luqi, 2024. "Expensive anomalies," Journal of Empirical Finance, Elsevier, vol. 75(C).
  15. 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.
  16. 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.
  17. Cui, Mengqi & Li, Daye, 2024. "A four-factor model based on factor momentum," Pacific-Basin Finance Journal, Elsevier, vol. 87(C).
  18. Mercik, Aleksander & Cupriak, Daniel & Zaremba, Adam, 2023. "Factor seasonalities: International and further evidence," Finance Research Letters, Elsevier, vol. 58(PA).
  19. Assoe, Kodjovi & Attig, Najah & Sy, Oumar, 2024. "The battle of factors," Global Finance Journal, Elsevier, vol. 62(C).
  20. Guo, Jiaqi & Han, Xing & Li, Kai & Li, Youwei, 2025. "The nexus of overnight trend and asset prices in China," Journal of Economic Dynamics and Control, Elsevier, vol. 170(C).
  21. 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).
  22. Ma, Tian & Sheng, Haoyun & Wang, Yuejie, 2024. "Noisy market, machine learning and fundamental momentum," Pacific-Basin Finance Journal, Elsevier, vol. 86(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. 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).
  25. Kim, Junyong, 2024. "Zoom in on momentum," International Review of Financial Analysis, Elsevier, vol. 94(C).
  26. 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).
  27. 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.
  28. Zhou, Bin & Shi, Huai-Long, 2024. "Quantile volatility connectedness among themes and sectors: Novel evidence from China," The Quarterly Review of Economics and Finance, Elsevier, vol. 98(C).
  29. 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.
  30. 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.
  31. 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).
  32. Graef, Frank & Hoechle, Daniel & Schmid, Markus, 2025. "Firm-specific versus systematic momentum," Finance Research Letters, Elsevier, vol. 76(C).
  33. 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).
  34. 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).
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