Stock momentum has long been a workhorse idea. Buy recent winners. Sell recent losers. Critics argue those profits mostly come from riding factor trends like value, size, or industry tilts. This paper pushes back. It shows there is a durable, stock-specific momentum component tied to how prices react to firm news around earnings dates. The result is a cleaner, lower-risk way to capture momentum without leaning so heavily on broad factor moves.

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

Gerard and Jehl

Financial Analyst Journal, 2025

A version of this paper can be found here

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Key Academic Insights

There is real stock-specific momentum, not just factor timing

The authors isolate the part of 12-month momentum that comes only from returns in short windows around each firm’s earnings announcements over the prior year.…