The Idiosyncratic Momentum Anomaly

@article{Blitz2020TheIM,
  title={The Idiosyncratic Momentum Anomaly},
  author={David C. Blitz and M. Hanauer and M. Vidojevic},
  journal={Risk Management \& Analysis in Financial Institutions eJournal},
  year={2020}
}
This paper seeks to uncover the drivers of the idiosyncratic momentum anomaly. We show that: (i) idiosyncratic momentum is a distinct phenomenon that exists next to conventional momentum and is not explained by it; (ii) idiosyncratic momentum is priced in the cross-section of stock returns after controlling for established and recently proposed asset pricing factors, including the ones that explain a host of momentum-related anomalies; (iii) some of the prominent explanations for the momentum… Expand
Does option trading affect idiosyncratic momentum?
Idiosyncratic Momentum and the Importance of the Asset Pricing Model
Enhanced Momentum Strategies
Decomposing Momentum
...
1
2
3
4
...

References

SHOWING 1-10 OF 52 REFERENCES
Momentum Crashes
Momentum, Reversal, and the Trading Behaviors of Institutions
Market States and Momentum
Idiosyncratic Momentum: U.S. and International Evidence
Do Industries Explain Momentum
Multifactor Explanations of Asset Pricing Anomalies
Is Japan Different? Evidence on Momentum and Market Dynamics
Residual momentum in Japan
...
1
2
3
4
5
...