Price Momentum or Factor Momentum: What Leads What?

Continuing our research of different factor allocations and models, we will look at evergreen momentum effect closer. Cakici, Fieberg, Metko, and Zaremba’s (January 2023) paper contributes to the never-ending debate of the chicken-or-egg problem of what comes first: Does the stock price momentum originate from the factor momentum? The study reexamined the relationship between the factor and price momentum on an extensive sample of 95 years of data from 51 countries. And what are the main takeaways? Let’s find out …

https://quantpedia.com/price-momentum-or-factor-momentum-what-leads-what/