Ma, Tian; Liao, Cunfei; Jiang, Fuwei - 2022
Based on 10 commonly used non-momentum factors, we construct a novel factor momentum strategy and find that it earns an annualized return of 9.91% and a Sharpe ratio of 1.15 in the Chinese stock market, which lacks stock-level momentum. We also find that factor momentum has strong explanatory...