Do industries explain momentum?

被引：733

作者：

Moskowitz, TJ ^{[1
]}

Grinblatt, M

机构：

[1] Univ Chicago, Grad Sch Business, Chicago, IL 60637 USA

[2] Univ Calif Los Angeles, Anderson Sch, Los Angeles, CA 90024 USA

来源：

JOURNAL OF FINANCE | 1999年 / 54卷 / 04期

关键词：

D O I：

10.1111/0022-1082.00146

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：1249 / 1290

页数：42

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