This paper investigates the presence of momentum return when priced for common components. Using a sample period from 1926 through 2005 for all stocks listed in the NYSE, AMEX and NASDAQ we show significant momentum return remains both at the portfolio level and at the individual stock level. We...

This paper investigates the contribution of common components and stock specific components in generating momentum return. Using a decomposition approach in a multi-dimensional framework we report that momentum return resulted from all stocks listed in the NYSE, AMEX and NASDAQ from 1926 through...