The Many Facets of Stock Momentum: Distinguishing Factor and Stock Components (opens in new tab)

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 [...] The Many Facets of Stock Momentum: Distinguishing Factor and Stock Components was originally published at Alpha Architect. Please read the Alpha Arch...