This paper investigates whether the HML, the SMB along with the short-term reversal, the long-term reversal and the momentum factors exhibit both in-sample and out-of-sample forecasting ability for the US stock returns. Our findings suggest that these factors contain significantly more...

We construct a risk adjusted version of return reversal within the US stock universe, which we name idiosyncratic Z score (IZ). Stock ranking in the IZ portfolios is based on the ratio of individual stocks' idiosyncratic return and its idiosyncratic risk. We link IZ with the stocks' demand...