Systematic Momentum: A New Class of Price Patterns
研究发现股票的系统性成分存在动量，这种系统性动量在日内、日、周和月度都有效，比传统收益动量更强，且不同于因子动量。
We uncover a new price pattern: The stock systematic component exhibits momentum. This systematic momentum further yields a return momentum: Stocks sorted by systematic component have persistent positive returns. In comparison with the extremely popular and extensively studied momentum sorted by return, which is valid only monthly, our systematic return momentum holds intraday, daily, weekly, and monthly. Furthermore, our systematic momentum, the strongest ever discovered, is different from the factor momentum sorted by factor performance. This paper was accepted by Kay Giesecke, finance. Funding: S. Z. Li thanks the Rutgers Business School Dean’s Research Seed Fund for financial support. P. Yuan acknowledges support from the National Natural Science Foundation of China [Grants 72233003 and 72303233]. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2024.08236 .