Benutzer: Gast  Login
Titel:

The idiosyncratic momentum anomaly

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Blitz, David; Hanauer, Matthias X.; Vidojevic, Milan
Nicht-TUM Koautoren:
ja
Kooperation:
international
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...     »
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
International Review of Economics & Finance
Journal gelistet in FT50 Ranking:
nein
Jahr:
2020
Band / Volume:
69
Jahr / Monat:
2020-09
Seitenangaben Beitrag:
932-957
Volltext / DOI:
doi:10.1016/j.iref.2020.05.008
WWW:
https://www.sciencedirect.com/science/article/pii/S1059056020300927
Verlag / Institution:
Elsevier BV
E-ISSN:
1059-0560
Publikationsdatum:
01.06.2020
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
 BibTeX
Versionen