The Many Facets of Stock Momentum: Distinguishing Factor and Stock Components
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The Many Facets of Stock Momentum: Distinguishing Factor and Stock Components

alphaarchitect
2 months ago
297 views
Stock momentum has long been a workhorse idea. Buy recent winners. Sell recent losers. Critics argue those profits mostly come from riding factor trends like value, size, or industry tilts. This paper pushes back. It shows there is a durable, stock-specific momentum component tied to how prices react to firm news around earnings dates. The result is a cleaner, lower-risk way to capture momentum without leaning so heavily on broad factor moves.



The Many Facets of Stock Momentum: Distinguishing...

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