Abstract
This article uses the dynamic principal component method to estimate a dynamic factor model for stock returns and identify the source of momentum profits. We find that momentum is a systematic-return phenomenon—momentum profits are due primarily to stock return response to a small number of dynamic systematic factors, and the contribution by the idiosyncratic component of stock return is statistically insignificant. We also find that the estimated dynamic factors can be partially related to observed economic factors.
Full Text 
Sign-in/Register to access full text options
Sign-in/Register to access full text options 
Paper version not known
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
