On industry momentum strategies

Toimittaja(t)

Southern Finance Association|Southwestern Finance Association|Wiley
2019-12-10
Artikkeli
Laskentatoimi ja rahoitus
vertaisarvioitu
Artikkeli
Osuva_Grobys_Kolari_2019.pdf - Hyväksytty kirjoittajan käsikirjoitus - 598.66 KB

Pysyvä osoite

https://urn.fi/URN:NBN:fi-fe20201210100261

Kuvaus

© 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.
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.

URI

https://doi.org/10.1111/jfir.12205

Emojulkaisu

ISBN

ISSN

1475-6803
0270-2592

Aihealue

Kausijulkaisu

Journal of Financial Research|43

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