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October 16, 2025Financial Analysts JournalOpen Access

The Many Facets of Stock Momentum: Distinguishing Factor and Stock Components

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Stock-specific momentum predicts future returns, showing stability over time in various markets.
Findings highlight the distinction between factor momentum and stock-specific components, as seen in markets including the US.
The study utilizes earnings announcement returns from the past 30 years to assess the impact of stock momentum.
Results indicate the bad-model problem can be mitigated by focusing on the stock-specific component.

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This analysis identifies stock-specific momentum predicting future returns in multiple regions, suggesting a need to reevaluate existing models.

Gérard et al. (2025) studied this question.

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This analysis identifies stock-specific momentum predicting future returns in multiple regions, suggesting a need to reevaluate existing models.