A reexamination of factor momentum: How strong is it?
(2022)
Journal Article
Fan, M., Li, Y., Liao, M., & Liu, J. (2022). A reexamination of factor momentum: How strong is it?. Financial Review, 57(3), 585-615. https://doi.org/10.1111/fire.12300
Recent studies show that most financial market anomalies exhibit a momentum effect. Based on two datasets, (i) an original 22-factor sample and (ii) a more comprehensive 187-factor sample, we find that factor momentum effect is weak at the individual... Read More about A reexamination of factor momentum: How strong is it?.