A reexamination of factor momentum: How strong is it?
基于两个因子数据集（22因子和187因子），发现只有约22%-27%的因子表现出强收益持续性，因子动量策略并未优于单纯做多策略。
Abstract 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 factor level. In both samples, only about 22%– 27% of the factors exhibit strong return continuation and dominate the factor momentum portfolio while the remaining factors do not. The factor momentum strategies do not outperform the corresponding long‐only strategies in either sample. The choice of factors affects the ability of factor momentum to explain individual stock momentum.