Data sets - the idiosyncratic momentum factor

Data sets - the idiosyncratic momentum factor

23-06-2020 | Data sets
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  • Matthias Hanauer
  • David Blitz
    Chief Researcher
  • Milan Vidojevic

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.