论文标题
因素动量比库存动量更重要吗？
Is Factor Momentum More than Stock Momentum?
论文作者
论文摘要
是的，但仅在短暂的滞后。在本文中，我们研究了因子动量和库存动量之间的关系。使用文献中记录的72个因素的样本，我们首先复制了先前的发现，即因子动量存在并在方向和横截面上起作用。然后，我们询问因素动量是否通过库存动量跨越。一个简单的跨越测试表明，在控制库存动量和因子暴露之后，统计上显着的夏普比率仅属于包括回报最后一个月的实现。我们以一个简单的理论模型结束了这项研究，该模型捕获了这些力量：（1）在短滞后较短的滞后和动量处存在库存水平的平均恢复，（2）所有滞后都有库存和因子动量，（3）（3）在所有水平的股票和因子动量的PNL之间都有自然的合并。
Yes, but only at short lags. In this paper we investigate the relationship between factor momentum and stock momentum. Using a sample of 72 factors documented in the literature, we first replicate earlier findings that factor momentum exists and works both directionally and cross-sectionally. We then ask if factor momentum is spanned by stock momentum. A simple spanning test reveals that after controlling for stock momentum and factor exposure, statistically significant Sharpe ratios only belong to implementations which include the last month of returns. We conclude this study with a simple theoretical model that captures these forces: (1) there is stock-level mean reversion at short lags and momentum at longer lags, (2) there is stock and factor momentum at all lags and (3) there is natural comovement between the PNLs of stock and factor momentums at all horizons.
