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Momentum, asymmetric volatility and idiosyncratic risk-momentum relation: Does technology-sector matter?

Mohamed Ahmed () and Mohammad Alhadab

The Quarterly Review of Economics and Finance, 2020, vol. 78, issue C, 355-371

Abstract: This paper examines systematic differences in momentum, asymmetric volatility and the relationship of idiosyncratic risk to momentum in both hi-tech stocks and low-tech stocks for 5795 US stocks. The findings show that the stocks of high-tech firms generate greater momentum returns especially with regard to portfolios that have holding and ranking periods of less than 12 months. In most cases the momentum returns in the hi-tech stocks explain the symmetric response to good and bad news, though this response is asymmetric in the low-tech stocks. Finally, the relationship between idiosyncratic risk and momentum return is insignificant for high-tech stocks and significantly negative for low-tech stocks.

Keywords: High-tech firms; Low-tech firms; Momentum; Asymmetric volatility; Idiosyncratic risk; US (search for similar items in EconPapers)
JEL-codes: E22 G11 G12 G32 G41 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.qref.2020.05.005

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