Our results suggest that momentum is not a distinct risk factor—it times other factors.Sina 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...
volatility, the explanatory power of the momentum factor almost disappears, which suggests the pricing of idiosyncratic volatility mediates momentum and returns... B Liu,AD Iorio,AD Silva - 《Studies in Economics & Finance》 被引量: 3发表: 2016年 Testing the Augmented Fama–French Six-Factor Ass...
Ehsani, Sina, and Juhani T. Linnainmaa. "Factor momentum and the momentum factor."Journal of Finance77.3 (2022): 1877-1919. Käfer, Niclas, Mathis Moerke, and Tobias Wiest. "Option factor momentum." Available at SSRN 4405852 (2023). Kelly, Bryan T., Seth Pruitt, and Yinan Su. "Instr...
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...
momentum-factor动量系数；动量因素；动量因子 双语例句 1. 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.祝学习进步！如果不明白，请再问；如果对你有所帮助，请点击本页面中的“选为满意回答”按钮，谢谢！
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...
For the Momentum factor, the factor sensitivity of 0.5 indicates a momentum bias, not a contrarian strategy, which would be true if the factor sensitivity for the Momentum factor were negative and not close to zero. B is incorrect. Cerra is incorrect with regard to the contrarian strategy. ...
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. ...
The Momentum factor, not to be confused with Trend Following, is often thought to be driven by investor behavioral biases such as initial under-reaction to fundamental news about companies. This is an example of a style factor that has historically delivered a positive long-term return....
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。