Do Industries Explain Momentum?
Do Industries Explain Momentum.pdf
by Tobias J. Moskowitz; Mark Grinblatt
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.
The Journal of Finance, Vol. 54, No. 4, Papers and Proceedings, Fifty-Ninth Annual Meeting,
American Finance Association, New York, New York, January 4-6, 1999. (Aug., 1999), pp.
1249-1290.
Stable URL:
http://links.jstor.org/sici?sici=0022-1082%28199908%2954%3A4%3C1249%3ADIEM%3E2.0.CO%3B2-5
