TY - JOUR
T1 - The idiosyncratic momentum anomaly
AU - Blitz, David
AU - Hanauer, Matthias X.
AU - Vidojevic, Milan
PY - 2020/9
Y1 - 2020/9
N2 - 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 premium, such as crash risk, and investor overconfidence and overreaction linked to market states and dynamics cannot explain idiosyncratic momentum profits; (iv) long-term return dynamics of idiosyncratic momentum support the underreaction hypothesis for its existence; (v) idiosyncratic momentum generates robust returns across a range of developed and emerging markets.
AB - 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 premium, such as crash risk, and investor overconfidence and overreaction linked to market states and dynamics cannot explain idiosyncratic momentum profits; (iv) long-term return dynamics of idiosyncratic momentum support the underreaction hypothesis for its existence; (v) idiosyncratic momentum generates robust returns across a range of developed and emerging markets.
KW - Asset pricing
KW - Idiosyncratic momentum
KW - Momentum crashes
KW - Risk management
UR - http://www.scopus.com/inward/record.url?scp=85089436948&partnerID=8YFLogxK
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U2 - 10.1016/j.iref.2020.05.008
DO - 10.1016/j.iref.2020.05.008
M3 - Article
AN - SCOPUS:85089436948
VL - 69
SP - 932
EP - 957
JO - International Review of Economics and Finance
JF - International Review of Economics and Finance
SN - 1059-0560
ER -