动力因素

IF 6.8 1区经济学 Q1 BUSINESS, FINANCE

Review of Financial Studies Pub Date : 2023-01-16 DOI:10.1093/rfs/hhad006

Robert D Arnott, Vitali Kalesnik, Juhani T Linnainmaa

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引用次数: 7

摘要

要素表现出强大的横截面动量，包括行业动量和其他投资组合特征。所有这些基于要素、行业和其他特征的动量策略的利润彼此显著相关，因此可能来自同一来源。如果因素表现出动量，那么任何一组具有因素负荷横截面变化的投资组合也会表现出动量。与作为动量根源的因素一致，我们发现行业中性因素的动量解释了行业动量，但行业动量不能解释任何因素的动量。横截面因子动量集中在前几个最高特征值因子中，与时间序列因子动量不同。作者们提供了一份互联网附录，可以在牛津大学出版社的网站上找到，就在最终发表论文的链接旁边。

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Factor Momentum

Abstract Factors display strong cross-sectional momentum that subsumes momentum in industries and other portfolio characteristics. The profits of all these momentum strategies—based on factors, industries, and other characteristics—significantly correlate with each other and therefore likely emanate from the same source. If factors display momentum, so will any set of portfolios with cross-sectional variation in factor loadings. Consistent with factors being at the root of momentum, we find that momentum in industry-neutral factors explains industry momentum, but industry momentum explains none of the factor momentum. Cross-sectional factor momentum concentrates in the first few highest-eigenvalue factors and is distinct from time-series factor momentum. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

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来源期刊

Review of Financial Studies Multiple-

CiteScore

16.00

自引率

2.40%

发文量

期刊介绍： The Review of Financial Studies is a prominent platform that aims to foster and widely distribute noteworthy research in financial economics. With an expansive editorial board, the Review strives to maintain a balance between theoretical and empirical contributions. The primary focus of paper selection is based on the quality and significance of the research to the field of finance, rather than its level of technical complexity. The scope of finance within the Review encompasses its intersection with economics. Sponsoring The Society for Financial Studies, the Review and the Society appoint editors and officers through limited terms.