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Momentum, asymmetric volatility and idiosyncratic risk-momentum relation: Does technology-sector matter?

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  • Ahmed, Mohamed S.
  • Alhadab, Mohammad

Abstract

This paper examines systematic differences in momentum, asymmetric volatility and the relationship of idiosyncratic risk to momentum in both hi-tech stocks and low-tech stocks for 5795 US stocks. The findings show that the stocks of high-tech firms generate greater momentum returns especially with regard to portfolios that have holding and ranking periods of less than 12 months. In most cases the momentum returns in the hi-tech stocks explain the symmetric response to good and bad news, though this response is asymmetric in the low-tech stocks. Finally, the relationship between idiosyncratic risk and momentum return is insignificant for high-tech stocks and significantly negative for low-tech stocks.

Suggested Citation

  • Ahmed, Mohamed S. & Alhadab, Mohammad, 2020. "Momentum, asymmetric volatility and idiosyncratic risk-momentum relation: Does technology-sector matter?," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 355-371.
    • Handle: RePEc:eee:quaeco:v:78:y:2020:i:c:p:355-371
    DOI: 10.1016/j.qref.2020.05.005
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    More about this item

    Keywords

    High-tech firms; Low-tech firms; Momentum; Asymmetric volatility; Idiosyncratic risk; US;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity

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