PT  - JOURNAL ARTICLE
AU  - Denis B. Chaves
TI  - Idiosyncratic Momentum: <em>U.S. and International Evidence</em>
AID  - 10.3905/joi.2016.25.2.064
DP  - 2016 May 31
TA  - The Journal of Investing
PG  - 64--76
VI  - 25
IP  - 2
4099  - https://pm-research.com/content/25/2/64.short
4100  - https://pm-research.com/content/25/2/64.full
AB  - This article explores an alternative definition of momentum that is calculated using the idiosyncratic returns from market regressions. By removing the return component due to market beta exposure, this new definition of momentum reduces the volatility of momentum strategies and generates sizeable alphas, even after controlling for traditional momentum. The results are confirmed in a sample of 21 countries, in addition to U.S. data. Most interestingly, the findings also hold in Japan, where previous studies have failed to find any significant power for traditional momentum strategies.TOPICS: Analysis of individual factors/risk premia, developed