Factor Momentum Versus Stock Price Momentum : A Revisit

Does factor momentum drive the stock price momentum? Motivated by the recent findings from the United States, we revisit this relationship across 51 countries. The evidence on factor momentum's ability to capture the stock momentum profits depends fundamentally on methodological and dataset choices. Consequently, the factor momentum cannot robustly subsume the stock momentum in global markets. On the contrary, the latter explains the former better than vice versa. Our conclusions challenge the view that momentum only times other factors rather than constituting a distinct anomaly