Cross-stock Momentum and Factor Momentum

Replication Package for "Cross-stock Momentum and Factor Momentum" published in the Journal of Financial Economics. Please cite the paper as follows: Jingda Yan, and Jialin Yu. "Cross-stock Momentum and Factor Momentum." Journal of Financial Economics, Forthcoming.本数据集为发表于《金融经济学杂志》（Journal of Financial Economics）的《跨个股动量（Cross-stock Momentum）与因子动量（Factor Momentum）》一文的复现包（Replication Package）。 请按以下格式引用该论文： 严靖达、于佳霖. 《跨个股动量与因子动量》. 《金融经济学杂志》，即将刊出。