Industry Momentum at the End of the 20th Century

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.