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A reexamination of factor momentum: How strong is it?

Citations

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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. 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).
  6. Liu, Weiyi & Zhang, Huachen & Wan, Die, 2026. "Overlapping factor momentum," Finance Research Letters, Elsevier, vol. 90(C).
  7. 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).
  8. Ma, Tian & Sheng, Haoyun & Wang, Yuejie, 2024. "Noisy market, machine learning and fundamental momentum," Pacific-Basin Finance Journal, Elsevier, vol. 86(C).
  9. 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).
  10. 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).
  11. Leland E. Farmer & Lawrence Schmidt & Allan Timmermann, 2023. "Pockets of Predictability," Journal of Finance, American Finance Association, vol. 78(3), pages 1279-1341, June.
  12. 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.
  13. 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.
  14. Ryuta Sakemoto, 2025. "Time‐varying group common factors in the stock market anomalies," The Financial Review, Eastern Finance Association, vol. 60(2), pages 481-507, May.
  15. 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).
  16. Anginer, Deniz & Ray, Sugata & Seyhun, H. Nejat & Xu, Luqi, 2024. "Expensive anomalies," Journal of Empirical Finance, Elsevier, vol. 75(C).
  17. Beckmeyer, Heiner & Wiedemann, Timo, 2025. "All Days Are Not Created Equal: Understanding Momentum by Learning to Weight Past Returns," Journal of Banking & Finance, Elsevier, vol. 181(C).
  18. Yiyan Qian & Ying Jiang & Xiaoquan Liu, 2025. "Factor Momentum in Commodity Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(11), pages 1934-1969, November.
  19. 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).
  20. Eghbal Rahimikia & Hao Ni & Weiguan Wang, 2025. "Re(Visiting) Time Series Foundation Models in Finance," Papers 2511.18578, arXiv.org.
  21. Mercik, Aleksander & Cupriak, Daniel & Zaremba, Adam, 2023. "Factor seasonalities: International and further evidence," Finance Research Letters, Elsevier, vol. 58(PA).
  22. 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.
  23. 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).
  24. Dezhong Xu & Bin Li & Tarlok Singh & Jung Chul Park, 2025. "Cross‐asset time‐series momentum strategy: A new perspective," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 65(3), pages 2387-2419, September.
  25. Liu, Yangyi & Luo, Ronghua & Zhao, Senyang, 2023. "Improving factor momentum: Statistical significance matters," Economics Letters, Elsevier, vol. 233(C).
  26. Duan, Xinrui & Guo, Li & Li, Frank Weikai & Tu, Jun, 2025. "Do factor models capture both sentiment and limited attention?," Journal of Economic Dynamics and Control, Elsevier, vol. 181(C).
  27. 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).
  28. 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.
  29. 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).
  30. Kai Li & Jun Liu, 2022. "Optimal Dynamic Momentum Strategies," Operations Research, INFORMS, vol. 70(4), pages 2054-2068, July.
  31. Graef, Frank & Hoechle, Daniel & Schmid, Markus, 2025. "Firm-specific versus systematic momentum," Finance Research Letters, Elsevier, vol. 76(C).
  32. Ghazi, Soroush & Schneider, Mark & Strauss, Jack, 2025. "Momentum is still there conditional on volatility-amplified pessimism," Journal of Empirical Finance, Elsevier, vol. 84(C).
  33. 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).
  34. Yiran Zheng & Xili Zhang & Donald Lien & Xiaojian Yu, 2025. "Evaluating Trend‐Based Strategies in Chinese Commodity Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(12), pages 2282-2313, December.
  35. 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).
  36. Ganghyeok Lee & Minhyuk Jeong & Taeyoung Park & Kwangwon Ahn, 2025. "More than ex-post fitting: log-periodic power law and its AI-based classification," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 12(1), pages 1-13, December.
  37. Tomtosov, Aleksandr, 2024. "Momentum on historical high," Finance Research Letters, Elsevier, vol. 69(PB).
  38. 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.
  39. Assoe, Kodjovi & Attig, Najah & Sy, Oumar, 2024. "The battle of factors," Global Finance Journal, Elsevier, vol. 62(C).
  40. Ma, Tian & Liao, Cunfei & Jiang, Fuwei, 2024. "Factor momentum in the Chinese stock market," Journal of Empirical Finance, Elsevier, vol. 75(C).
  41. Kim, Junyong, 2024. "Zoom in on momentum," International Review of Financial Analysis, Elsevier, vol. 94(C).
  42. Goyal, Amit & Reed, Adam V. & Smajlbegovic, Esad & Soebhag, Amar, 2025. "Stealthy shorts: Informed liquidity supply," Journal of Financial Economics, Elsevier, vol. 172(C).
  43. 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.
  44. 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.
  45. 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).
  46. 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).
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