Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market
“Using the A-share individual stocks in the Chinese market from January 1997 to December 2017, we first evaluate the performance of the weekly momentum based on raw returns and idiosyncratic returns, respectively.”
AssetEquitiessingle stocks
StrategyMomentumshort-term reversal
GeographyChina
FrequencyWeekly
Also stated: Profit, Drawdown, Text and news
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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