Option Factor Momentum

Journal
Journal of Financial and Quantitative Analysis
Type
journal article
Date Issued
2025-04-10
Author(s)
;
;
DOI
Abstract
We document significant time-series and cross-sectional momentum in 28 equity option factors. Factor momentum is distinct from a static factor portfolio, and prominent option factor models cannot fully explain its returns. Despite high autocorrelation, factor momentum profits are mainly driven by high and persistently different mean factor returns in case of longer formation periods. Option factor momentum fully subsumes option momentum, but not vice versa. Our findings are robust over time, across various market states, and for alternative momentum strategy constructions.
Keywords
Options
momentum
factor momentum
Refereed
yes
Official URL
URL
Subject(s)

finance

Division(s)

SoF - School of Finan...

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