CFA Webinar
This webinar presents research addressing the recent controversy surrounding the existence of stock-specific momentum. Stock momentum consists of both factor and stock-specific components, yet the risk associated with factor momentum may hinder the impact of the stock-specific component and complicate its identification.
Using earnings announcement returns that occur during the formation months of a stock momentum strategy, the study isolates a component that is largely unaffected by factor momentum, thereby mitigating the bad-model problem. The evidence shows that this stock-specific momentum component predicts future returns, does not reverse in the long run, and is pervasive across markets, with similar results documented in the US, Europe, and Japan over the past 30 years.
