Industry momentum: an exchange‐traded funds approach

Bruce J Vanstone; Tobias Hahn; Dean Earea

doi:10.1111/acfi.12724

Industry momentum: an exchange‐traded funds approach

Bruce J Vanstone, Tobias Hahn, Dean Earea

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3 Citations (Scopus)

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Abstract

Price momentum is a well-documented anomaly in many of the world’s equity markets, and refers to the excess returns due to buying(selling) past winner(loser) stocks. Industry momentum refers to the excess returns due to buying(selling) stocks from past winner(loser) industries, and has been demonstrated to be more profitable than individual stock momentum in the US. We investigate whether industry momentum can be captured by investing with Sector ETFs. The performance of Sector ETF-based industry momentum is very different to stock momentum, and the strong performance of an unexpected group of Sector ETF momentum portfolios remain robust after controlling for risk.

Original language	English
Pages (from-to)	4007-4024
Number of pages	18
Journal	Accounting and Finance
Volume	61
Issue number	3
Early online date	21 Nov 2020
DOIs	https://doi.org/10.1111/acfi.12724
Publication status	Published - Sept 2021

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10.1111/acfi.12724

Industry momentum: an exchange‐traded funds approachAccepted author manuscript, 827 KBLicence: Other

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Industry momentum: an exchange‐traded funds approach

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