Factor Momentum and the Momentum Factor

 

 

Speaker: Juhani Linnainmaa, University of Southern California

 

Momentum in individual stock returns emanates from momentum in factor returns. Most factors are positively autocorrelated: the average factor earns a monthly return of 1 basis point following a year of losses and 53 basis points following a positive year. Factor momentum explains all forms of individual stock momentum. Stock momentum strategies indirectly time factors: they profit when the factors remain autocorrelated, and crash when these autocorrelations break down. Our key result is that momentum is not a distinct risk factor; it aggregates the autocorrelations found in all other factors.

Time: 12.00 – 1.00 p.m.

Venue: University of Technology, Sydney

               Building 8, Room 8.002, Dr Chau Chak Wing Building
               Dr Chau Chak Wing Building

              14 - 28 Ultimo Road, Ultimo

 

 

Enquiries: Mala Kapahi (Ph: +61 2 9514 7777)