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| Volume 6, No. 1,
April 2007 |
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Industry
Momentum at the End of the 20th Century |
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Christos I. Giannikos |
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Zicklin School of Business,
Baruch College, The City University of New York, U.S.A. |
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Xiuqing Ji |
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Zicklin School of Business,
Baruch College, The City University of New York, U.S.A. |
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| Abstract |
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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. |
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Key words:
stock
momentum; industry momentum; profitability; independence |
| JEL
classification:
G11;
G12; G15 |
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