Generalized momentum
提出一种灵活衡量过去股票表现的广义动量指标，在美国股市35年数据中产生超额收益，尤其对高风险股票显著，且能替代Carhart四因子模型中的动量因子。
This paper introduces generalized momentum which features flexibility when determining past stock performance. Generalized momentum yields abnormal returns both in raw returns and risk-adjusted returns in the US stock market throughout 35 years. These anomalous returns are most pronounced among high-risk profile stocks, that is essentially smaller stocks with higher book-to-market ratio. Generalized momentum returns are robust to the Carhart (1997) four-factor model. This result lets us conclude that generalized momentum returns could serve as an alternative to Carhart’s (1997) momentum factor. The return performance of generalized momentum is also robust to both value-weighting and alternative size breakpoints.