Factor Momentum and the Momentum Factor
研究发现个股收益的动量与因子收益的动量有关，多数因子存在正自相关，且因子动量集中于解释横截面收益较多的因子，动量并非独立风险因子，而是对其他因子进行择时。
ABSTRACT 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 following a year of losses and 51 basis points following a positive year. We find that factor momentum concentrates in factors that explain more of the cross section of returns and that it is not incidental to individual stock momentum: momentum‐neutral factors display more momentum. Momentum found in high‐eigenvalue principal component factors subsumes most forms of individual stock momentum. Our results suggest that momentum is not a distinct risk factor—it times other factors.