ScholarWorks@중앙대학교

초록

We revisit cross-sectional factor momentum by exploring a range of formation periods. Recent- and intermediate-past horizons, jointly and severally, not only produce statistically and economically significant factor momentum, remaining robust to established factors, but also capture its distinct aspects, with neither spanning the other. Subsample analyses show that the recent-past factor momentum premium persists post-publication, suggesting it is unlikely driven by data mining, while the intermediate-past premium varies with the publication and significance of factors.

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