EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062976920300600
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:78:y:2020:i:c:p:355-371

DOI: 10.1016/j.qref.2020.05.005

Access Statistics for this article

The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty

More articles in The Quarterly Review of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2023-06-15
Handle: RePEc:eee:quaeco:v:78:y:2020:i:c:p:355-371