Factor momentum versus price momentum: Insights from international markets
Date Issued
2025
Abstract
Does factor momentum drive stock price momentum? We examine this relationship across 51 countries. Factor momentum proves strong across many markets and international portfolios, independent of typical return predictability drivers. However, its ability to capture stock momentum profits depends on methodological and dataset choices. Empirical factor momentum cannot entirely subsume stock or industry momentum globally. Conversely, price momentum often better explains its factor counterpart than vice versa. Notably, factor momentum based on principal components is more robust, capturing a major share of price momentum gains in developed and emerging markets. Our findings challenge the view that momentum merely times other factors rather than constituting a distinct anomaly.
Subjects
Factor momentum
;
Equity anomalies
;
Return predictability
Publisher
Elsevier
Institution
Type
journal article
Journal/Edited collection
Issue
170
Start page
107332
Language
English