Option Factor Momentum
研究了28个股票期权因子的时间序列和截面动量，发现因子动量独立于静态因子组合且不能被现有期权因子模型解释，其收益主要源于因子均值的持续差异，并完全覆盖了期权动量。
Abstract We document significant time-series and cross-sectional momentum in 28 equity option factors. Factor momentum is distinct from a static factor portfolio, and prominent option factor models cannot fully explain its returns. Despite high autocorrelation, factor momentum profits are mainly driven by high and persistently different mean factor returns in the case of longer formation periods. Option factor momentum fully subsumes option momentum, but not vice versa. Our findings are robust over time, across various market states, and for alternative momentum strategy constructions.