We study whether a risk-based pricing source can generate momentum profits. We show both analytically and empirically that the Fama-French factor-adjusted return, or alphas, contains a missing risk-based component. A momentum strategy based on a proxy for this missing-factor component generates...

This paper examines the relative importance of the stock return's stock-specific component versus its common-factor component in explaining the momentum profits. Using a model nesting both Chordia and Shivakumar (2002) and Grundy and Martin (2001), we demonstrate that the Fama-French...