Efficient Momentum Resilience: A WRDS-Based Test of a Composite Equity Factor

Main Article Content

Zifan Wang
University of Warwick, Coventry CV4 7AL, United Kingdom

DOI: https://doi.org/10.70267/icrafm.202617729739

Keywords

cross-sectional returns, factor investing, momentum, firm characteristics

Abstract

This paper examines whether a transparent composite signal can predict the cross-section of U.S. stock returns. The proposed Efficient Momentum Resilience (EMR) measure combines four established return-predictive dimensions: intermediate-term momentum, sales efficiency, conservative investment, and low historical volatility. Using monthly U.S. equity data from January 2010 to December 2024, lagged accounting characteristics, and Fama–French factors, the underlying characteristics are cross-sectionally standardized each month and combined into EMR. All variables are aligned on a strict point-in-time basis to ensure that only information available at the portfolio formation date is used, thereby avoiding look-ahead bias. Baseline equal-weighted quintile sorts show that the high-minus-low EMR portfolio earns an average monthly return of 1.79% (Newey–West t = 3.83) and a Fama–French five-factor alpha of 1.91% per month (t = 5.35). Consistent with the portfolio evidence, Fama–MacBeth regressions yield a positive and statistically significant average coefficient on EMR (t = 5.04). The predictive relation remains positive across alternative portfolio groupings, value-weighted specifications, a $5 minimum-price filter, and two subsample periods.

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Published
Oct 19, 2026
Conference Proceedings Volume
Vol. 17 (2026): Proceedings of the International Conference on Research in Accounting, Finance and Management (ICRAFM 2026)
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Articles
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This work is licensed under a Creative Commons Attribution 4.0 International License.

How to Cite

Wang, Zifan. “Efficient Momentum Resilience: A WRDS-Based Test of a Composite Equity Factor”. Exploring Science Academic Conference Series, vol. 17, Oct. 2026, pp. 729-3, https://doi.org/10.70267/icrafm.202617729739.