Yes, it's possible but there are a couple of caveats. This method (the only one I know of, as I'm still searching for something that'll work for my Lumia 925) is highly dependent on which Windows Phone device you have;
This solution is directly from Whatsapp's FAQs
To transfer your chat history from your old Windows Phone to the new one, please check the following requirements:
Your old phone must have an external SD card and you must have made a backup on your external SD card. Please see this article to learn how to back up your chat history.
Your new phone must also have an SD card slot.
You must have the same phone number in WhatsApp that you had when you backed up your chats.
If all requirements are met, you can transfer your chat history by simply moving your external SD card from your old device to the new one. Otherwise, you will not be able to transfer the chat history at this time. [ed: Factory reset will give you the option to not wipe your SD card]
After inserting the SD card to your new phone, install WhatsApp from the Store and tap restore when asked if you want to restore your chat history.
Voice Messages are not included in backups and will not be transferred to the new device.
You cannot restore the chat history from any other phone type to Windows Phone, or from Windows Phone to another phone type.