Momentum returns have time-varying exposures to the three Fama and French equity risk factors. In particular factor … loadings are higher when the factor returns during the ranking period are higher. In this study we look at momentum returns … conditional nature of the time-variation in factor loadings is the best way to hedge. The hedged momentum returns are higher, less …

proposed measure is used in pricing portfolios reflecting the size, value, and momentum premia. The conditional CAPM of … is discovered that winner stocks in a momentum portfolio may have higher market betas than loser stocks. …

suggest that the value and momentum factors have pervasive pricing power. Motivated by Garlappi and Yan (2011), we then … examine if there is a unifying risk-based explanation for the value and momentum effects. Different from previous studies, we … and momentum effects are in part explained by innovations in future macroeconomic conditions. …

value, Carhart momentum, as well as the more recent Pastor–Stambaugh liquidity and Adrian–Etula–Muir leverage factors …, value and momentum effects, and new insights on the specification of systematic risk, are provided. …

We investigate the predictive power of market volatility for momentum. We find that (1) market volatility has … significant power to forecast momentum payoffs, which is robust after controlling for market state and business cycle variables … momentum. These findings jointly present a significant challenge to existing theories on momentum. …