Suchergebnisse

AbstractIn this article, we investigate industry momentum strategies. We find that industry portfolios that outperformed in the previous month generate on average significantly higher returns in the holding period than those that underperformed. Plain and risk‐managed strategies using this short‐run industry momentum are not subject to optionality effects. Also, the tail risks of these strategies are uncorrelated with traditional industry momentum strategies. The spread associated with the risk‐managed strategy both meets necessary conditions as a risk factor and is significantly priced in the cross‐section of U.S. industry portfolios.

AbstractIn this paper, we find that individual stock momentum varies almost monotonically with industry growth. Firms in the highest industry growth quintile have significantly higher momentum compared to those in the lowest growth quintile. We find that the above‐average growth group within each quintile has significantly higher momentum profits than the below‐average group. Further, momentum profits of the highest industry growth quintile are always higher than those for the universe of firms, suggesting an economic benefit to stratifying firms based on industry growth and relative company growth intra‐industry, while following a momentum investment strategy.