Industry Momentum at the End of the 20th Century

Christos Giannikos and Xiuqing Ji
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Xiuqing Ji: Zicklin School of Business, Baruch College, The City University of New York, U.S.A.

International Journal of Business and Economics, 2007, vol. 6, issue 1, 29-46

Abstract: Previous studies are conflicting as to whether industry momentum can explain stock momentum. We revisit this issue using a large dataset covering the US and 37 international countries. The results indicate that industry momentum earns significant profits worldwide and the profits are larger in January than in non-January months. Furthermore, analyzing portfolios generated from two-way sort provides evidence that industry and individual stock momentum are independent of each other.

Keywords: stock momentum; industry momentum; profitability; independence (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:ijb:journl:v:6:y:2007:i:1:p:29-46

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