The idiosyncratic momentum anomaly: A study of Vietnam stock market

This paper examines the relationship between idiosyncratic momentum and future returns in Vietnam stock market. study utilizes Stock market from DataStream database, containing listed delisted stocks July 2010 to June 2021. Based on portfolio-level analysis Fama-Macbeth regressions results, we find that there is a positive significant returns. Moreover, these results are robust after controlling for several well-known variables, such as beta, firm size, book-to-market, momentum. We also predicted power of cannot be explained by crash risk, however, driven states.