Speculative Leverage and Factor Momentum
Factor momentum strategies earn 49 basis points per month extra return following quarters of rapid margin-debt growth, a predictability that persists after publication and reflects limits to arbitrage correction.
Featured in No. 132 on 25 Sep 2026 · 2 days after release
- Released
- 23 Sep 2026
- First featured
- No. 132 · 25 Sep 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7512099
- Authors
- Weijian Sun and Yu Xia
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).