Idiosyncratic risk mobile payment and momentum trading strategy: Evidence from E-commerce Industry in the United States

Abstract

Using 27 E-commerce firms in the United States from 2013 to 2019 as the sample this study investigates whether the development of mobile payment business may affect the relationship between idiosyncratic risks and returns in the E-commerce industry Firstly the paper employ two different methods to measure idiosyncratic risk - the EGARCH model and the residual of the FAMA five-factor model to decide the optimal model which affects the returns Next this study forms two types of momentum investment strategy based on the idiosyncratic risks and whether the firm has mobile payment services The empirical results show that the idiosyncratic risks measured by the residuals of the FAMA five-factor model is better to present a significantly negative impact on returns Momentum strategies that adopt idiosyncratic risks will bring abnormal returns after the formation period in three months Overall the findings of this paper bring some information for investor in making their investment decisions

Date of Award	2020
Original language	English
Supervisor	Li-Kai Liao (Supervisor)