This paper reviews studies related to factors and anomalies in empirical asset pricing. The contents are presented in three main parts. First, in international studies, model structures, factors, and the factor generation processes of major empirical pricing models are introduced, and results...

This study finds short-term idiosyncratic momentum (iMOM) in cross-sectional stock returns. The short-term iMOM utilizes the daily residual returns estimated by pricing models in the previous month. This is different from idiosyncratic volatility (IVOL), which uses the volatility of the same...