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