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Data sets - the idiosyncratic momentum factor

Data sets - the idiosyncratic momentum factor

23-06-2020 | Data sets
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  • Matthias Hanauer
    Matthias
    Hanauer
    Researcher
  • David Blitz
    David
    Blitz
    Head of Quant Research
  • Milan Vidojevic
    Milan
    Vidojevic
    Researcher

This data set belongs to the research article by David Blitz, Matthias Hanauer, and Milan Vidojevic, entitled ‘The idiosyncratic momentum anomaly’ published in the International Review of Economics & Finance. The study documents that idiosyncratic momentum, also known as residual momentum, is a distinct phenomenon that exists next to conventional momentum and is not explained by it. Furthermore, the authors show that idiosyncratic momentum is priced in the cross-section of stock returns after controlling for established and recently proposed asset pricing factors, including the ones that explain a host of momentum-related anomalies.

The data file contains portfolios sorted on size (ME) and idiosyncratic momentum and a long-short iMOM hedge factor. The iMOM factor is value-weighted and based on all NYSE, AMEX and NASDAQ common shares, similar to the Fama-French 2x3 double-sorted portfolios.