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Document type:
Zeitschriftenaufsatz 
Author(s):
Blitz, David; Hanauer, Matthias X.; Vidojevic, Milan 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
The idiosyncratic momentum anomaly 
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 
Publisher:
Elsevier BV 
E-ISSN:
1059-0560 
Date of publication:
01.06.2020 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
Interdisciplinarity:
Nein 
Mission statement:
Ethics and Sustainability:
Nein