The Many Facets of Stock Momentum: Distinguishing Factor and Stock Components
研究了股票动量中因子与股票特定成分的争议，利用盈利公告回报捕捉不受因子动量影响的成分，发现该成分能预测未来收益且长期不反转，在美国、欧洲和日本过去30年普遍存在。
This study aims to investigate the recent controversy surrounding the existence of stock-specific momentum. Stock momentum consists of both factor- and stock-specific components, but the risk associated with factor momentum might hinder the impact of stock-specific momentum. Using earnings announcement returns that occur during the formation months of the stock momentum strategy, the study captures a component largely unaffected by factor momentum, thereby mitigating the bad-model problem. This stock-specific momentum source predicts future returns, does not reverse in the long run, and is pervasive, as similar results are found in the US, Europe, and Japan over the last 30 years.