Industry momentum: an exchange‐traded funds approach

Allbwn ymchwil: Cyfraniad at gyfnodolynErthygladolygiad gan gymheiriaid

Fersiynau electronig

Dangosydd eitem ddigidol (DOI)

  • Bruce J Vanstone
    Bond University
  • Tobias Hahn
    Dayap Logic Pty Ltd
  • Dean Earea
    Bond University
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 US. We investigate whether industry momentum can be captured by investing with Sector 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 remain robust after controlling for risk.
Iaith wreiddiolSaesneg
Tudalennau (o-i)4007-4024
CyfnodolynAccounting and Finance
Cyfrol61
Rhif y cyfnodolyn3
Dyddiad ar-lein cynnar21 Tach 2020
Dynodwyr Gwrthrych Digidol (DOIs)
StatwsCyhoeddwyd - Medi 2021
Cyhoeddwyd yn allanolIe
Gweld graff cysylltiadau