Momentum and industry growth

Abstract

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. D

Industry momentum: an exchange‐traded funds approach

“…Primary sources of industry momentum returns are uncertain, and proposed explanations relate mainly to either delayed reaction to the traditional Fama‐French factors (Du and Denning, 2005), firm productivity (Chen et al ., 2007), time‐varying serial correlation (Du and Watkins, 2007), industry growth (Safieddine and Sonti, 2007), structural changes (Chui et al ., 2003; Kalotychou et al ., 2014) and herding (Demirer et al ., 2015).…”

Industry- and liquidity-based momentum in Australian equities

“…Put differently, they found no evidence of stock momentum being subsumed by industry effects. In an attempt to refine stock and industry momentum strategies, Safieddine and Sonti (2007) focused on industry growth instead of industry per se and reported higher momentum returns for stocks belonging to high-growth rather than mature industries. The logic is that highgrowth industries are usually associated with greater uncertainty and mispricing; hence, a more pronounced momentum effect should be observed with this kind of industry.…”

Momentum anomaly: evidence from India

“…The debate on momentum revolves around sources of momentum. The momentum returns are attributed to volume (Lee and Swaminathan, 2000), industry returns (Moskowitz and Grinblatt, 1999; Grundy and Martin, 2001; Safieddine and Sonti, 2007); trading costs (Korajczyk and Sadka, 2004); macro economic factors (Chordia and Shivakumar, 2002); skewness (Campbell and Akhtar, 2000) and market states (Cooper et al , 2004).…”