公司特有动力vs .系统动力

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-02-13 DOI:10.1016/j.frl.2025.106963

Frank Graef , Daniel Hoechle , Markus Schmid

{"title":"公司特有动力vs .系统动力","authors":"Frank Graef , Daniel Hoechle , Markus Schmid","doi":"10.1016/j.frl.2025.106963","DOIUrl":null,"url":null,"abstract":"<div><div>We decompose stock returns into a systematic and a firm-specific component and show that the dynamics of the firm-specific return component drive the well-known stock momentum anomaly. Our results are robust to the use of a variety of prominent factor models for return decomposition. Furthermore, we find that momentum profits are largely unaffected when the investment universe is restricted to stocks with inconspicuous factor loadings. Our empirical findings call into question the transmission mechanism from factor momentum to stock momentum proposed in recent research.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"76 ","pages":"Article 106963"},"PeriodicalIF":6.9000,"publicationDate":"2025-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Firm-specific versus systematic momentum\",\"authors\":\"Frank Graef , Daniel Hoechle , Markus Schmid\",\"doi\":\"10.1016/j.frl.2025.106963\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>We decompose stock returns into a systematic and a firm-specific component and show that the dynamics of the firm-specific return component drive the well-known stock momentum anomaly. Our results are robust to the use of a variety of prominent factor models for return decomposition. Furthermore, we find that momentum profits are largely unaffected when the investment universe is restricted to stocks with inconspicuous factor loadings. Our empirical findings call into question the transmission mechanism from factor momentum to stock momentum proposed in recent research.</div></div>\",\"PeriodicalId\":12167,\"journal\":{\"name\":\"Finance Research Letters\",\"volume\":\"76 \",\"pages\":\"Article 106963\"},\"PeriodicalIF\":6.9000,\"publicationDate\":\"2025-02-13\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Finance Research Letters\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1544612325002272\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Finance Research Letters","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1544612325002272","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

我们将股票收益分解为系统收益和公司特定收益两部分，并表明公司特定收益部分的动态驱动了众所周知的股票动量异常。我们的结果是稳健的使用各种突出因素模型的回报分解。此外，我们发现，当投资范围仅限于因子负荷不显著的股票时，动量利润在很大程度上不受影响。我们的实证研究结果对近期研究提出的因子动量向股票动量的传导机制提出了质疑。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Firm-specific versus systematic momentum

We decompose stock returns into a systematic and a firm-specific component and show that the dynamics of the firm-specific return component drive the well-known stock momentum anomaly. Our results are robust to the use of a variety of prominent factor models for return decomposition. Furthermore, we find that momentum profits are largely unaffected when the investment universe is restricted to stocks with inconspicuous factor loadings. Our empirical findings call into question the transmission mechanism from factor momentum to stock momentum proposed in recent research.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance