Momentum in individual stock returns relates to momentum in factor returns. Most factors are
positively autocorrelated: the average factor earns a monthly return of six basis points …

In this article, the authors document robust momentum behavior in a large collection of 65
widely studied characteristic-based equity factors around the globe. They show that, in …

The last three decades brought mounting evidence regarding the cross-sectional
predictability of country equity returns. The studies not only documented country-level …

Factors display strong cross-sectional momentum that subsumes momentum in industries
and other portfolio characteristics. The profits of all these momentum strategies—based on …

The study examines the implications of structural oil price shocks on one of the most widely
observed and pervasive momentum anomalies. We use a structural vector autoregression …

Aiming to optimally harvest global equity factor premiums, we investigated the benefits of
parametric portfolio policies for timing factors conditioned on time-series predictors and …

Is there a short-term reversal effect outside the universe of individual stocks? To answer this,
we investigate a comprehensive dataset of more than two centuries of returns on five major …

Based on 10 commonly used factors, we construct a novel factor momentum strategy in the
Chinese stock market, which earns an annualized return of 9.91%, with a Sharpe ratio of …

The literature on cross-sectional stock return predictability has documented over 450 factors.
We take the perspective of an institutional investor and navigate this zoo of factors by …

This study examines the momentum effect in the returns of factor premia representing a
broad set of stock market strategies. Using cross-sectional and time-series tests, we …