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Do industries explain momentum?
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DOI：10.1111/0022-1082.00146.png)
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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 sell stocks from past losing industries, appear highly profitable, even after controlling for size, book-to-market equity, individual stock momentum, the cross-sectional dispersion in mean returns, and potential microstructure influences.
Keyword:
MUTUAL FUND PERFORMANCE
STOCK-MARKET
INTERNATIONAL DIVERSIFICATION
CONTRARIAN PROFITS
RETURNS
OVERREACTION
STRATEGIES
EFFICIENCY
REVERSALS
BEHAVIOR
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期刊
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9.5
论文数:
4.0K
被引数:
5.0W
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分享收藏A unified theory of underreaction, momentum trading, and overreaction in asset markets资产市场反应不足、动量交易和反应过度的统一理论.png)
JOURNAL OF FINANCE
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JOURNAL OF FINANCEIF9.5
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