Momentum in real economy and industry stock returns

Ron Eichel

Journal of Behavioral and Experimental Finance, 2021, vol. 32, issue C

Abstract: This study investigates the relationship between the real economy and stock prices in the context of momentum strategies. While past research has examined momentum in terms of data embedded in market activity, we show that momentum is affected by data from real activity. Using United States sectoral output indices, we show that once the industry effect is considered, the momentum in stocks may lose significance in many cases. In several strategies, the influence of real sectors generates significant anomalous returns and remains robust even when the influence of stock indices is taken into account.

Keywords: Momentum; Investments; Market returns; Size; Factor investing; Real sectors; Economic sectors (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001209

DOI: 10.1016/j.jbef.2021.100576

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