The idiosyncratic momentum anomaly: A study of Vietnam stock market

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