This paper focuses on the horse race of weekly idiosyncratic momentum (IMOM) with respect to various idiosyncratic risk metrics. Using the A-share individual stocks in the Chinese market from January 1997 to December 2017, we first evaluate the performance of the weekly momentum and...

This paper reexamines the profitability of loser, winner and contrarian portfolios in the Chinese stock market using monthly data of all stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange covering the period from January 1997 to December 2012. We find evidence of short-term...

We employ the generalized forecast error variance decomposition based on the vector autoregression model to investigate factors' volatility spillovers. Furthermore, we investigate the relationship between factor volatility spillovers and their premia via the portfolio analysis. We find: (1)...