On industry momentum strategies

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annif.suggestionssecurity market|yield|investements|securities (economics)|financial markets|pricing|risk factors|strategies|industry|Finland|enen
annif.suggestions.linkshttp://www.yso.fi/onto/yso/p12456|http://www.yso.fi/onto/yso/p4629|http://www.yso.fi/onto/yso/p4320|http://www.yso.fi/onto/yso/p3415|http://www.yso.fi/onto/yso/p7536|http://www.yso.fi/onto/yso/p10773|http://www.yso.fi/onto/yso/p13277|http://www.yso.fi/onto/yso/p4632|http://www.yso.fi/onto/yso/p998|http://www.yso.fi/onto/yso/p94426en
dc.contributor.authorGrobys, Klaus
dc.contributor.authorKolari, James
dc.contributor.departmentInnolab-
dc.contributor.facultyfi=Laskentatoimen ja rahoituksen yksikkö|en=School of Accounting and Finance|-
dc.contributor.organizationfi=Vaasan yliopisto|en=University of Vaasa|
dc.date.accessioned2020-12-10T12:21:41Z
dc.date.accessioned2025-06-25T12:49:36Z
dc.date.available2021-12-10T01:00:26Z
dc.date.issued2019-12-10
dc.description.abstractIn 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.-
dc.description.notification© 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.-
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|-
dc.embargo.lift2021-12-10
dc.embargo.terms2021-12-10
dc.format.bitstreamtrue
dc.format.contentfi=kokoteksti|en=fulltext|-
dc.format.extent25-
dc.format.pagerange95-119-
dc.identifier.olddbid13150
dc.identifier.oldhandle10024/11757
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/990
dc.identifier.urnURN:NBN:fi-fe20201210100261-
dc.language.isoeng-
dc.publisherSouthern Finance Association-
dc.publisherSouthwestern Finance Association-
dc.publisherWiley-
dc.relation.doi10.1111/jfir.12205-
dc.relation.ispartofjournalJournal of Financial Research-
dc.relation.issn1475-6803-
dc.relation.issn0270-2592-
dc.relation.issue1-
dc.relation.urlhttps://doi.org/10.1111/jfir.12205-
dc.relation.volume43-
dc.source.identifierWOS:000508362400001-
dc.source.identifierScopus: 85078660439-
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/11757
dc.subject.disciplinefi=Laskentatoimi ja rahoitus|en=Accounting and Finance|-
dc.titleOn industry momentum strategies-
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä|en=A1 Peer-reviewed original journal article|sv=A1 Originalartikel i en vetenskaplig tidskrift|-
dc.type.publicationarticle-
dc.type.versionacceptedVersion-

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