References
- Abhyankar, A., Filippou, I., Garcia-Ares, P., & Haykir, O. (2018) Overcoming arbitrage limits: Option trading and momentum returns. Working Paper. SSRN https://ssrn.com/abstract=3206873
- Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross-section of volatility and expected returns. Journal of Finance, 61(1), 259–19. https://doi.org/10.1111/j.1540-6261.2006.00836.x
- Arena, M. P., Haggard, K. S., & Yan, X. (2008). Price momentum and idiosyncratic volatility. Financial Review, 43(2), 159–190. https://doi.org/10.1111/j.1540-6288.2008.00190.x
- Blitz, D., Hanauer, M. X., & Vidojevic, M. (2018). The idiosyncratic momentum anomaly. Working Paper. SSRN https://ssrn.com/abstract=2947044.
- Blitz, D., Huij, J., & Martens, M. (2011). Residual momentum. Journal of Empirical Finance, 18(3), 506–521. https://doi.org/10.1016/j.jempfin.2011.01.003
- De Bondt, W. F. M., & Thaler, R. (1985). Does the stock market overreact? Journal of Finance, 40(3), 793–805. https://doi.org/10.1111/j.1540-6261.1985.tb05004.x
- Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56. https://doi.org/10.1016/0304-405X(93)90023-5
- Fama, E. F., & French, K. R. (1996). Multifactor explanations of asset pricing anomalies. The Journal of Finance, 51(1), 55–84. https://doi.org/10.1111/j.1540-6261.1996.tb05202.x
- Fama, E. F., & MacBeth, J. D. (1973). Risk, return and equilibrium: Empirical tests. Journal of Political Economy, 81-3(3), 607–636. https://doi.org/10.1086/260061
- Grossman, S. J. (1988). An analysis of the implications for stocks and futures price volatility of program trading and dynamic hedging strategies. The Journal of Business, 61(3), 275–298. https://doi.org/10.1086/296433
- Gutierrez, R. C., & Pirinsky, C. A. (2007). Momentum, reversal, and the trading behaviors of institutions. Journal of Financial Markets, 10(1), 48–75. https://doi.org/10.1016/j.finmar.2006.09.002
- Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers - implications for stock market efficiency. Journal of Finance, 48(1), 65–91. https://doi.org/10.1111/j.1540-6261.1993.tb04702.x
- Jegadeesh, N., & Titman, S. (2001). Profitability of momentum strategies: An evaluation of alternative explanations. Journal of Finance, 56(2), 699–720. https://doi.org/10.1111/0022-1082.00342
- Pyo, U., & Shin., Y. J. (2013). Momentum profits and idiosyncratic volatility: The Korean evidence. Review of Accounting and Finance, 12(2), 180–200. https://doi.org/10.1108/14757701311327722
- Subrahmanyam, A. (2018). Equity market momentum: A synthesis of the literature and suggestions for future work. Pacific-Basin Finance Journal, 51(C), 291–296. https://doi.org/10.1016/j.pacfin.2018.08.004