Shi, Huai-Long; Zhou, Wei-Xing - 2021
This paper focuses on the horse race of weekly idiosyncratic momentum (IMOM) with respect to various idiosyncratic risk … idiosyncratic risk metrics. Further, we perform a comparative study on the performance of the IMOM portfolios with respect to … various risk metrics. At last, we explore the possible explanations to the IMOM as well as risk-based IMOM portfolios. We find …