On industry momentum strategies
Grobys, Klaus; Kolari, James (2019-12-10)
Southern Finance Association Southwestern Finance Association Wiley
10.12.2019
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe20201210100261
https://urn.fi/URN:NBN:fi-fe20201210100261
Kuvaus
vertaisarvioitu
© 2019 The Southern Finance Association and the Southwestern Finance Association. This is the pre-peer reviewed version of the following article: Grobys, K. & Kolari, J. (2019). On industry momentum strategies. Journal of Financial Research 43(1), 95-119., which has been published in final form at https://doi.org/10.1111/jfir.12205. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.
© 2019 The Southern Finance Association and the Southwestern Finance Association. This is the pre-peer reviewed version of the following article: Grobys, K. & Kolari, J. (2019). On industry momentum strategies. Journal of Financial Research 43(1), 95-119., which has been published in final form at https://doi.org/10.1111/jfir.12205. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.
Tiivistelmä
In this article, we investigate industry momentum strategies. We find that industry portfolios that outperformed in the previous month generate on average significantly higher returns in the holding period than those that underperformed. Plain and risk‐managed strategies using this short‐run industry momentum are not subject to optionality effects. Also, the tail risks of these strategies are uncorrelated with traditional industry momentum strategies. The spread associated with the risk‐managed strategy both meets necessary conditions as a risk factor and is significantly priced in the cross‐section of U.S. industry portfolios.
Kokoelmat
- Artikkelit [2788]