文献类型：期刊文献

英文题名：Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market

作者：Shi, Huai-Long[1];Zhou, Wei-Xing[2,3,4]

机构：[1]Nanjing Univ Informat Sci & Technol, Sch Management Sci & Engn, Nanjing 210044, Peoples R China;[2]East China Univ Sci & Technol, Sch Business, Dept Finance, Shanghai 200237, Peoples R China;[3]East China Univ Sci & Technol, Sch Sci, Dept Math, Shanghai 200237, Peoples R China;[4]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China

年份：2021

卷号：58

外文期刊名：NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

收录：;WOS:【SSCI(收录号:WOS:000701813200015)】；

基金：This work was partly supported by Humanities and Social Sciences Fund of Ministry of Education of China, China [grant number 20YJC790113] , the Project of Philosophy and Social Science Research in Colleges and Universities in Jiangsu Province, China [grant number 2019SJA0156] , the Startup Foundation for Introducing Talent of NUIST, China, and the Fundamental Research Funds for the Central Universities, China.

语种：英文

外文关键词：Momentum effect; Contrarian effect; Idiosyncratic risk; Chinese stock market

摘要：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 based on raw returns and idiosyncratic returns, respectively. After that the univariate portfolio analysis is conducted to investigate the return predictability with respect to various 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 IMOM as well as risk-based IMOM portfolios. We find that 1) there are prevailing contrarian effect and IMOM effect for the whole sample; 2) the negative relations exist between most of the idiosyncratic risk metrics and the cross-sectional stock returns, and better performance is linked to idiosyncratic volatility (IVol) and maximum drawdowns (IMDs); 3) additionally, the IVol-based and IMD-based IMOM portfolios exhibit better explanatory power to the IMOM portfolios with respect to other risk metrics; 4) finally, higher profitability of IMOM as well as IVol-based and IMD-based IMOM portfolios is found to be related to upside market states, high levels of liquidity and high levels of investor sentiment.