Industry momentum: an exchange‐traded funds approach

Bruce J Vanstone, Tobias Hahn, Dean Earea

Research output: Contribution to journalArticleResearchpeer-review

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 languageEnglish
Pages (from-to)4007-4024
Number of pages18
JournalAccounting and Finance
Volume61
Issue number3
Early online date21 Nov 2020
DOIs
Publication statusPublished - Sep 2021

Fingerprint

Dive into the research topics of 'Industry momentum: an exchange‐traded funds approach'. Together they form a unique fingerprint.

Cite this