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SSRN
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Do Style and Sector Indexes Carry Momentum?

SSRN Electronic Journal
2011
  • 1
    Citations
  • 4,664
    Usage
  • 24
    Captures
  • 0
    Mentions
  • 0
    Social Media
Metric Options:   Counts1 Year3 Year

Metrics Details

  • Citations
    1
    • Citation Indexes
      1
  • Usage
    4,664
    • Abstract Views
      3,866
    • Downloads
      798
  • Captures
    24
  • Ratings
    • Download Rank
      62,746

Article Description

Existing literature documents that cross-sectional stock returns exhibit both price momentum and earnings momentum. In this paper, we examine whether commonly used style and sector indexes also have momentum patterns. We show that style indexes exhibit strong price momentum, but little evidence of earnings momentum. On the other hand, sector indexes exhibit both significant price momentum and earnings momentum. Moreover, we provide evidence that price momentum in style indexes can be explained by individual stock return momentum, whereas price momentum in sector indexes is driven by earnings momentum. Finally, we show that a dynamic momentum strategy can further enhance the performance of style investment even after adjusting for transaction costs.

Bibliographic Details

Linda H. Chen; George J. Jiang; Xingnong Zhu

Elsevier BV

Style Indexes; Sector Indexes; Price Momentum; Earnings Momentum; Transaction Costs

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