 Industry momentum and reversals in stock marketsNicholas Apergis (), Vasilios Plakandaras and Ioannis Pragidis International Journal of Finance & Economics, 2022, vol. 27, issue 3, 3093-3138 Abstract: Although price trends such as momentum and reversal patterns of stock prices are well established in the literature, little is known whether price patterns still hold at the international level. Using data from over 24,000 stock prices, the analysis forms international within and across industries portfolios for the EU and the Asia/Pacific regions and studies the presence of momentum and reversal patterns, compared with the typical benchmark, which is the U.S. market. Interestingly, it finds that both patterns are related to low capitalized firms. Price reversals appearing only at the short‐run validating the liquidity constraint assumption, while momentum holds for a longer period and is related to investors' underreaction. Finally, it finds that only a few sectors can predict the market as an indirect result of momentum. A trading strategy that builds on industries' portfolios own predictive ability beats the market. Overall, matching returns patterns from the national to the international level supports the presence of unobserved risk factors and behavioural biases. Date: 2022 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:27:y:2022:i:3:p:3093-3138 Ordering information: This journal article can be ordered from Access Statistics for this article International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd. |
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