Do Industries Explain Momentum? - A Replication of Moskowitz and Grinblatt
نویسنده
چکیده
We replicate Moskowitz and Grinblatt’s (1999) findings on industry momentum using data for US large cap stocks between 1998 and 2007. Moskowitz and Grinblatt find that industry momentum strategies appear to be highly profitable. Moskowitz and Grinblatt also demonstrate that individual stock momentum strategies, which buy past winning stocks and sell past losing stocks, are less profitable after controlling for industry momentum [3]. After replicating Moskowitz and Grinblatt’s results, we find that industry momentum strategies do provide greater returns than individual stock momentum strategies. We also find that the optimal time horizon of an industry momentum strategy is uncorrelated with the size of the industries the strategy is applied to.
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