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Do Industries Explain Momentum?

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  • Tobias J. Moskowitz

    (Graduate School of Business, University of Chicago ()

  • Mark Grinblatt

    (The Anderson School, University of California at Los Angeles ()

Abstract

This paper documents a strong and prevalent momentum effect in industry components of stock returns which accounts for much of the individual stock momentum anomaly. Specifically, momentum investment strategies, which buy past winning stocks and sell past losing stocks, are significantly less profitable once we control for industry momentum. By contrast, industry momentum investment strategies, which buy stocks from past winning industries and sell stocks from past losing industries, appear highly profitable, even after controlling for size, book-to-market equity, individual stock momentum, the cross-sectional dispersion in mean returns, and potential microstructure influences. Copyright The American Finance Association 1999.

Suggested Citation

  • Tobias J. Moskowitz & Mark Grinblatt, 1999. "Do Industries Explain Momentum?," Journal of Finance, American Finance Association, vol. 54(4), pages 1249-1290, August.
  • Handle: RePEc:bla:jfinan:v:54:y:1999:i:4:p:1249-1290
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