Many have tried to to explain away price momentum as driven by factor effects, but a recent study that looks at a large set of anomalies across a large set of countries fins that price momentum is still a key factor, see "Factor momentum versus price momentum: insights from international markets" The question answered in this paper was simple, does factor momentum drive stock price momentum?
Now, factor momentum is strong across most international markets, but factor momentum cannot entirely explain stock and industry momentum; however, factor momentum based on principal components does a better job than traditional factor modeling. Nevertheless, price momentum often does a better job of explaining factor momentum. So, we can conclude that price momentum is distinct and cannot just be a combination of factor momentums. The paper provides an interesting display of comparisons between price and factor momentum that makes the story more compelling.
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