Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 11, 2020 erstellt
Description:
Factor momentum returns do not stem from momentum in factor returns. To study the source of returns, this paper decomposes the stock factor momentum portfolio into a factor timing portfolio and a static portfolio, where the former dynamically collects the return due to serial correlations of factor returns and the latter is designed to collect factor premiums. Sequential sorts of 210 factors show that the static portfolio robustly accounts for a dominant fraction of the total factor momentum return and outperforms in risk-adjusted returns, whereas factor return predictability is empirically too weak to produce significant timing benefits. The static portfolio survives the post-publication decay of factor returns but the factor momentum portfolio does not