Idiosyncratic momentum and the cross‐section of stock returns: Further evidence
用五种资产定价模型构建特质动量，发现其策略在股票组合和个股的横截面定价中均优于传统动量策略，且该效应与投资资本资产定价模型一致，但无法扩展到整体股票市场。
Abstract In this article, we evaluate the profitability and economic source of the predictive power of the idiosyncratic momentum effect, by using five popular asset pricing models to construct the idiosyncratic momentum. We show that all five idiosyncratic momentum strategies produce similar return predictability and consistently outperform the conventional momentum strategy in the cross‐sectional pricing of equity portfolios and individual stocks. This positive effect of idiosyncratic momentum on returns is consistent with the investment capital asset pricing model (CAPM). Further analysis reveals that the firm‐level idiosyncratic momentum effect cannot extend to the aggregate stock market.