Firm-specific versus systematic momentum

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Firm-specific versus systematic momentum_2025.pdf(1.08 MB)
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Publication date
2025
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Institut für Finanzmanagement
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01A - Journal article
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Finance Research Letters
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DOI of the original publication
https://doi.org/10.1016/j.frl.2025.106963
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https://irf.fhnw.ch/handle/11654/51285
https://doi.org/10.26041/fhnw-12575
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76
Issue / Number
106963
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Elsevier
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Abstract
We decompose stock returns into a systematic and a firm-specific component and show that the dynamics of the firm-specific return component drive the well-known stock momentum anomaly. Our results are robust to the use of a variety of prominent factor models for return decomposition. Furthermore, we find that momentum profits are largely unaffected when the investment universe is restricted to stocks with inconspicuous factor loadings. Our empirical findings call into question the transmission mechanism from factor momentum to stock momentum proposed in recent research.
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330 - Wirtschaft
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1544-6123
1544-6131
Language
English
Created during FHNW affiliation
Yes
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Published
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Peer review of the complete publication
Open access category
Hybrid
License
'https://creativecommons.org/licenses/by/4.0/'
Citation
Graef, F., Höchle, D., & Schmid, M. (2025). Firm-specific versus systematic momentum. Finance Research Letters, 76(106963). https://doi.org/10.1016/j.frl.2025.106963
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