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

This paper focuses on the horse race of weekly idiosyncratic momentum (IMOM) with respect to various risk metrics. Using A-share individual stocks in Chinese market from January 1997 December 2017, we first evaluate performance based raw returns and returns, respectively. After that univariate portfolio analysis is conducted investigate return predictability Further, perform a comparative study IMOM portfolios At last, explore possible explanations as well portfolios. We find 1) there are prevailing contrarian effect for whole sample; 2) negative relations exist between most metrics cross-sectional stock better linked volatility (IVol) maximum drawdowns (IMDs); 3) additionally, IVol-based IMD-based exhibit explanatory power other metrics; 4) finally, higher profitability found be related upside states, high levels liquidity investor sentiment.