doi:10.1111/jofi.13131Sina EhsaniJuhani T. LinnainmaaAmerican Finance AssociationJournal of FinanceEhsani, S., Linnainmaa, J. T., 2017. Factor momentum and the momentum factor. USC Marshall School of Business Working Paper
Momentum in individual stock returns emanates from momentum in factor returns. Most factors are positively autocorrelated: the average factor earns a monthly return of 1 basis point following a year of losses and 53 basis points following a positive year. Factor momentum explains all forms of indiv...
Cao, Jie, and Bing Han. "Cross section of option returns and idiosyncratic stock volatility."Journal of Financial Economics108.1 (2013): 231-249. Ehsani, Sina, and Juhani T. Linnainmaa. "Factor momentum and the momentum factor."Journal of Finance77.3 (2022): 1877-1919. Käfer, Niclas, M...
chapter4:Momentum momentum定义(umd): we define momentum as the last 12 months of returns excluding the most recent month(months 2-12).The most recent month is exclueded as it tends to show a reversal.the momentum factor is the average return of the top 30 percent of stocks minus the ave...
你好：momentum-factor动量系数；动量因素；动量因子 例句:Once you get go, momentum builds up and inertia is no factor.一旦你行动起来, 动力就会源源而来,惯性也不再成了疑难题目了.望采纳
baike.baidu.com|基于16个网页 2. 动量因子 ...e factor)能有效地增加股票报酬的解释力,而动量因子(momentum factor)仅能稍微增加股票报酬的解释力,因为动量因子对 … etds.lib.ncku.edu.tw|基于10个网页 3. 惯性因子 ...DBD 算法,除沿袭 DBD 所具有之特色外,更将惯性因子(Momentum Factor)之 调整考虑进...
Factor momentum returns do not stem from momentum in factor returns. To study the source of returns, this paper decomposes the factor momentum portfolio into a factor timing portfolio and a static portfolio, where the former dynamically collects the return due to serial correlations of factor ...
We construct a factor momentum strategy in the Chinese stock market, which earns an annualized return of 9.91 %. • Factor momentum subsumes other types of momentum, and represents the momentum anomaly in China. • Mispricing correction helps explain factor momentum. ...
2018年,AQR的网站上发表了一篇名为《Factor Momentum Everywhere》的文章,阐述了因子也有动量,即之前获得了超额回报的因子策略仍有可能延续超额回报,而之前表现不好的因子策略很有可能继续表现不好。看来,AQR已经从反对派的位子上悄悄撤下来了,Asness仍然说因子择机非常困难,但潜台词变成了:你做不了,但我可以。
A back-propagation algorithm with adaptivemomentum factor; 一种具有自适应动量因子的BP算法 3. In this paper,BP arithmetic is mended by appendingmomentum factors. 引入动量因子对常规BP学习算法进行了改进。 2) momentum gene 动量因子 1. The method is to adjust the learning rate and themomentum genese...