期刊
JOURNAL OF EMPIRICAL FINANCE
卷 18, 期 3, 页码 506-521出版社
ELSEVIER
DOI: 10.1016/j.jempfin.2011.01.003
关键词
Momentum; Time-varying risk; Stock-specific returns; Residual returns
Conventional momentum strategies exhibit substantial time-varying exposures to the Fama and French factors. We show that these exposures can be reduced by ranking stocks on residual stock returns instead of total returns. As a consequence, residual momentum earns risk-adjusted profits that are about twice as large as those associated with total return momentum; is more consistent over time; and less concentrated in the extremes of the cross-section of stocks. Our results are inconsistent with the notion that the momentum phenomenon can be attributed to a priced risk factor or market microstructure effects. (C) 2011 Elsevier B.V. All rights reserved.
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