Do Industries Explain Momentum?
Abstract
This paper documents a strong and prevalent momentum effect in industry components of stock returns which accounts for much of the individual stock momentum anomaly. Specifically, momentum investment strategies, which buy past winning stocks and sell past losing stocks, are significantly less profitable once we control for industry momentum. By contrast, industry momentum investment strategies, which buy stocks from past winning industries and...
Paper Details
Title
Do Industries Explain Momentum?
Published Date
Aug 1, 1999
Journal
Volume
54
Issue
4
Pages
1249 - 1290
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