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Industry momentum: an exchange‐traded funds approach
Author(s) -
Vanstone Bruce,
Hahn Tobias,
Earea Dean
Publication year - 2021
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/acfi.12724
Subject(s) - momentum (technical analysis) , stock (firearms) , equity (law) , financial economics , business , monetary economics , economics , engineering , mechanical engineering , political science , law
Price momentum is a well‐documented anomaly in many of the world’s equity markets, and refers to the excess returns due to buying (selling) past winner (loser) stocks. Industry momentum refers to the excess returns due to buying (selling) stocks from past winner (loser) industries, and has been demonstrated to be more profitable than individual stock momentum in the United States. We investigate whether industry momentum can be captured by investing with sector exchange‐traded funds (ETFs). The performance of sector ETF‐based industry momentum is very different to stock momentum, and the strong performance of an unexpected group of sector ETF momentum portfolios remains robust after controlling for risk.