Guo, Songchan; Pyo, Unyong - In: Cogent economics & finance 8 (2020) 1, pp. 1-19
the emergence of traded options. We compare idiosyncratic momentum returns with traditional momentum returns over … different holding periods and over difference in traded options. Our results show that idiosyncratic momentum returns for stocks … with options are positive for three, six, and twelve months following the formation date, while traditional momentum …
