haku: @indexterm Motor components industry / yhteensä: 29
viite: 7 / 29
| Tekijä: | Moskowitz, T. J. Grinblatt, M. |
| Otsikko: | Do industries explain momentum? |
| Lehti: | Journal of Finance
1999 : AUG, VOL. 54:4, p. 1249-1290 |
| Asiasana: | Stock returns Investments Strategic management Portfolio investment Motor components industry |
| Kieli: | eng |
| Tiivistelmä: | The paper documents a strong and prevalent momentum effect in industry components of stock returns which account for much of the individual stock momentum anomaly. Momentum investment strategies, which buy past winning stocks and sell past losing stocks, are significantly less profitable. 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 return, and potential microstructure influences. |
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