The profitability, seasonality and source of industry momentum

• Autores: Xiuqing Ji, Christos I. Giannikos
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 20, Nº. 16-18, 2010, págs. 1337-1349
• Idioma: inglés
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• Resumen

  • We systematically examine industry momentum on a global basis. The results show that industry momentum is profitable around the globe for various ranking and holding periods. The profits are larger in January than in other months. Industry momentum reverses in the long run and the reversal does not concentrate in January; these findings are consistent with behavioural explanations for the profitability of industry momentum.