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...

In this paper, we show that the book-to-market decomposition described in Fama-French (2008) significantly improves the predictive power of the estimation for an important emerging market, viz, Chinese shares. Second, we show that this improvement comes mainly from the change in book equity and...