Cross-stock momentum and factor momentum
研究发现跨股票动量基于领先滞后关系的不对称性和长短期同步联动差异，产生月均1.62%的alpha，且因子动量收益主要源于跨股票关联。
Cross-stock momentum builds on the asymmetry in lead-lag linkages and the difference between long-run and short-run contemporaneous co-movements. Data-driven cross-stock linkages generate a monthly alpha of 1.62% (t-stat=10.03). The asymmetry distinguishes cross-stock momentum from factor momentum, and industry momentum is not subsumed by factor momentum. Factor momentum profit is mostly due to the high cross-stock links. The data-driven linkages vary faster over time than those in previous studies because short-run co-movements incorporate persistent linkages.