Dynamic Factors and the Source of Momentum Profits
用动态主成分方法估计股票收益的动态因子模型，发现动量利润主要来自少数动态系统性因子，个股特质成分贡献不显著，且动态因子部分可关联到经济因素。
AbstractThis article uses the dynamic principal component method to estimate a dynamic factor model for stock returns and identify the source of momentum profits. We find that momentum is a systematic-return phenomenon—momentum profits are due primarily to stock return response to a small number of dynamic systematic factors, and the contribution by the idiosyncratic component of stock return is statistically insignificant. We also find that the estimated dynamic factors can be partially related to observed economic factors.KEY WORDS: Dynamic principal componentMomentumStock return predictability