In this article, the authors document robust momentum behavior in a large collection of 65
widely studied characteristic-based equity factors around the globe. They show that, in …

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 …

We demonstrate that the residual momentum strategy, which is constructed to hedge out the
risk exposure to the Fama–French (1993) factors, is profitable in Japan for short-term …

This paper compares the performance of three enhanced momentum strategies proposed in
the literature: constant volatility-scaled momentum, constant semi-volatility-scaled …

We investigate and improve momentum spillover from stocks to corporate bonds, ie the
phenomenon that past winners in the equity market are future winners in the corporate bond …

This study analyzes why the negative momentum effect appears in Asian (China, Japan,
Korea) stock markets, contrary to the US market. We use principal component momentum …

This study examines the sources of negative momentum profits by combining investor
attention and the properties of common and firm-specific factors. We choose the Korean …

This paper aims to examine the relation between idiosyncratic volatility (IVOL) and stock
returns with full-sample and conditional alpha sub-samples in Vietnam stock market …

With a history of empirical success, momentum became widely adopted by investment
managers despite a lack of consensus on why it worked. Then in the 2000s, momentum …

Idiosyncratic momentum, like price momentum, is a trading strategy that considers a share's
recent relative performance over the short to medium term. Idiosyncratic momentum differs …