This paper investigates the contribution of common components and stock specific components in generating momentum return. Using a decomposition approach in a multidimensional framework we report that momentum return resulted from all stocks listed in the NYSE, AMEX and NASDAQ from 1926 through 2005 is a contribution of stockspecific components. Our decomposition approach shows that at the portfolio level with Fama-French three factors the contribution of stock-specific component is 90 percent, whilst the same is 65 percent with macroeconomic variables. At the individual stock level however the contribution of stock-specific components declines, on average, by 20 percent. Our results are robust in different sub-periods and when predictor variables are employed. We conclude that though the contribution of common components cannot be eliminated, it is however not as crucial as stock-specific components
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