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.
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