Systematic Momentum: A New Class of Price Patterns

Sophia Zhengzi Li; Peixuan Yuan; Guofu Zhou

doi:10.1287/mnsc.2024.08236

Systematic Momentum: A New Class of Price Patterns

Sophia Zhengzi Li
, Peixuan Yuan
, Guofu Zhou

Department of Accountancy, Economics and Finance

Research output: Contribution to journal › Journal article › peer-review

Abstract

We uncover a new price pattern: The stock systematic component exhibits momentum. This systematic momentum further yields a return momentum: Stocks sorted by systematic component have persistent positive returns. In comparison with the extremely popular and extensively studied momentum sorted by return, which is valid only monthly, our systematic return momentum holds intraday, daily, weekly, and monthly. Furthermore, our systematic momentum, the strongest ever discovered, is different from the factor momentum sorted by factor performance.

Original language	English
Journal	Management Science
DOIs	https://doi.org/10.1287/mnsc.2024.08236
Publication status	E-pub ahead of print - 25 Nov 2025

User-Defined Keywords

Intraday
Limits to arbitrage
Mispricing
Momentum
Systematic component

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10.1287/mnsc.2024.08236

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title = "Systematic Momentum: A New Class of Price Patterns",

abstract = "We uncover a new price pattern: The stock systematic component exhibits momentum. This systematic momentum further yields a return momentum: Stocks sorted by systematic component have persistent positive returns. In comparison with the extremely popular and extensively studied momentum sorted by return, which is valid only monthly, our systematic return momentum holds intraday, daily, weekly, and monthly. Furthermore, our systematic momentum, the strongest ever discovered, is different from the factor momentum sorted by factor performance.",

keywords = "Intraday, Limits to arbitrage, Mispricing, Momentum, Systematic component",

author = "Li, \{Sophia Zhengzi\} and Peixuan Yuan and Guofu Zhou",

note = "Funding information: S. Z. Li thanks the Rutgers Business School Dean{\textquoteright}s Research Seed Fund for financial support. P. Yuan acknowledges support from the National Natural Science Foundation of China [Grants 72233003 and 72303233]. Publisher copyright: {\textcopyright} 2025, INFORMS",

year = "2025",

month = nov,

day = "25",

doi = "10.1287/mnsc.2024.08236",

language = "English",

journal = "Management Science",

issn = "0025-1909",

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T1 - Systematic Momentum

T2 - A New Class of Price Patterns

AU - Li, Sophia Zhengzi

AU - Yuan, Peixuan

AU - Zhou, Guofu

N1 - Funding information: S. Z. Li thanks the Rutgers Business School Dean’s Research Seed Fund for financial support. P. Yuan acknowledges support from the National Natural Science Foundation of China [Grants 72233003 and 72303233]. Publisher copyright: © 2025, INFORMS

PY - 2025/11/25

Y1 - 2025/11/25

N2 - We uncover a new price pattern: The stock systematic component exhibits momentum. This systematic momentum further yields a return momentum: Stocks sorted by systematic component have persistent positive returns. In comparison with the extremely popular and extensively studied momentum sorted by return, which is valid only monthly, our systematic return momentum holds intraday, daily, weekly, and monthly. Furthermore, our systematic momentum, the strongest ever discovered, is different from the factor momentum sorted by factor performance.

AB - We uncover a new price pattern: The stock systematic component exhibits momentum. This systematic momentum further yields a return momentum: Stocks sorted by systematic component have persistent positive returns. In comparison with the extremely popular and extensively studied momentum sorted by return, which is valid only monthly, our systematic return momentum holds intraday, daily, weekly, and monthly. Furthermore, our systematic momentum, the strongest ever discovered, is different from the factor momentum sorted by factor performance.

KW - Intraday

KW - Limits to arbitrage

KW - Mispricing

KW - Momentum

KW - Systematic component

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U2 - 10.1287/mnsc.2024.08236

DO - 10.1287/mnsc.2024.08236

M3 - Journal article

SN - 0025-1909

JO - Management Science

JF - Management Science

ER -

Systematic Momentum: A New Class of Price Patterns

Abstract

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