Do Industries Explain Momentum ?

@inproceedings{Moskowitz1999DoIE,
  title={Do Industries Explain Momentum ?},
  author={Tobias J. Moskowitz and Mark Grinblatt},
  year={1999}
}
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… CONTINUE READING
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