Factor Momentum Versus Stock Price Momentum : A Revisit

Does factor momentum drive the stock price momentum? Inspired by the recent findings from the United States, we revisit this relationship across 51 markets. The factor momentum effect remains strong—both within and across countries—regardless of typical drivers of return predictability. However, its 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