The idiosyncratic momentum anomaly

David Blitz, Matthias X. Hanauer and Milan Vidojevic

International Review of Economics & Finance, 2020, vol. 69, issue C, 932-957

Abstract: 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.

Keywords: Asset pricing; Idiosyncratic momentum; Momentum crashes; Risk management (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:69:y:2020:i:c:p:932-957

DOI: 10.1016/j.iref.2020.05.008

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