Factor Momentum and the Momentum Factor: Evidence from Emerging Markets
Momentum and trend following in equities, studied by Foye in 2026. The abstract mentions alpha but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Latin America, where momentum is strongest, is the only region in which the dominant factor components show no detectable momentum and a positive, marginally significant residual stock-momentum alpha remains.”
AssetEquitiessingle stocks
StrategyMomentum
GeographyGlobalEmerging markets
ClaimAlpha
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| Heterogeneity in Overnight-versus-Intraday Stock-Return Behavior with Asymmetric Information and 52-week Price Anchoring by Chen et al. | 2026 | ||||
| Revisiting Factor Models in Emerging Markets: Institutional Drivers of Factor Performance by Foye | 2026 | ||||
| Hysteresis Rebalancing in Cross-Sectional Momentum: Reducing Boundary Churn and Transaction-Cost Drag in Indian Equities by Pandhe | 2026 | ||||
| Narrative Capital and Asset Prices: Search-Based Attention, Portfolio Returns, and Factor Exposure by Saini | 2026 | ||||
| The Cost of Sector Constraints in Cross-Sectional Momentum: Evidence from the Nifty 500 by Pandhe | 2026 |