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Momentum and industry growth
Author(s) -
Safieddine Assem,
Sonti Ramana
Publication year - 2006
Publication title -
review of financial economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.347
H-Index - 41
eISSN - 1873-5924
pISSN - 1058-3300
DOI - 10.1016/j.rfe.2006.01.003
Subject(s) - momentum (technical analysis) , stock (firearms) , economics , investment (military) , monetary economics , financial economics , econometrics , geography , archaeology , politics , political science , law
In this paper, we find that individual stock momentum varies almost monotonically with industry growth. Firms in the highest industry growth quintile have significantly higher momentum compared to those in the lowest growth quintile. We find that the above‐average growth group within each quintile has significantly higher momentum profits than the below‐average group. Further, momentum profits of the highest industry growth quintile are always higher than those for the universe of firms, suggesting an economic benefit to stratifying firms based on industry growth and relative company growth intra‐industry, while following a momentum investment strategy.