Factor Momentum and the Momentum Factor
收藏NBER2019-02-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w25551
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资源简介：
Momentum in individual stock returns emanates from momentum in factor returns. Most factors are positively autocorrelated: the average factor earns a monthly return of 1 basis point following a year of losses and 53 basis points following a positive year. Factor momentum explains all forms of
提供机构：
美国国家经济研究局
创建时间：
2019-02-01
