Guo, Songchan; Pyo, Unyong - In: Cogent economics & finance 8 (2020) 1, pp. 1-19
Portfolios in idiosyncratic momentum are formed on past residuals of the Fama-French three factor model rather than past total returns. This study examines whether the idiosyncratic momentum strategy can sustain excess returns following the emergence of traded options. We compare idiosyncratic...