Abstract
Portfolios sorted by momentum show stronger return monotonicity than those formed using other anomalies. Compared with other strategies, the performance of such a momentum strategy improves monotonically with the number of portfolios. These improvements are significant beyond the influences of the usual pricing factors. Momentum factors based on more portfolios span those based on fewer portfolios, whereas the opposite effects do not hold. The evidence reported in this study suggests that a momentum factor formed on more than 10 portfolios sharpens the factor and its stylized facts.
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