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Factor Momentum and the Momentum Factor

  • Published:2022-04-22 Issue:3 Volume:77 Page:1877-1919
  • ISSN:0022-1082
  • Container-title:The Journal of Finance
  • language:en
  • Short-container-title:The Journal of Finance

Author:

EHSANI SINA,LINNAINMAA JUHANI T.

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference73 articles.

1. The Cross-Section of Volatility and Expected Returns

2. Arnott Rob MarkClements VitaliKalesnik andJuhani T.Linnainmaa 2021 Factor momentum Working paper Dartmouth College.

3. The Devil in HML’s Details

4. Quality minus junk

5. Value and Momentum Everywhere

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1. A four-factor model based on factor momentum;Pacific-Basin Finance Journal;2024-10

2. Machine learning style rotation – evidence from the Johannesburg Stock Exchange;Cogent Economics & Finance;2024-09-13

3. Noisy market, machine learning and fundamental momentum;Pacific-Basin Finance Journal;2024-09

4. The battle of factors;Global Finance Journal;2024-09

5. Investor sentiment or information content? A simple test for investor sentiment proxies;The North American Journal of Economics and Finance;2024-09
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