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Title:

The idiosyncratic momentum anomaly

Document type:
Zeitschriftenaufsatz
Author(s):
Blitz, David; Hanauer, Matthias X.; Vidojevic, Milan
Non-TUM Co-author(s):
ja
Cooperation:
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
Journal title:
International Review of Economics & Finance
Journal listet in FT50 ranking:
nein
Year:
2020
Journal volume:
69
Year / month:
2020-09
Pages contribution:
932-957
Fulltext / DOI:
doi:10.1016/j.iref.2020.05.008
WWW:
https://www.sciencedirect.com/science/article/pii/S1059056020300927
Publisher:
Elsevier BV
E-ISSN:
1059-0560
Date of publication:
01.06.2020
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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