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Volume 6, No. 1,
April 2007
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Industry Momentum at the End of the 20
th
Century
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Christos I. Giannikos*
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Zicklin School of Business, Baruch College, The
City University of New York, U.S.A.
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Xiuqing Ji
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Zicklin School of Business, Baruch College, The
City University of New York, U.S.A.
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Abstract
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Previous studies are conflicting as to
whether industry momentum can explain stock momentum. We
revisit this issue using a large dataset covering the US
and 37 international countries. The results indicate
that industry momentum earns significant profits
worldwide and the profits are larger in January than in
non-January months. Furthermore, analyzing portfolios
generated from two-way sort provides evidence that
industry and individual stock momentum are independent
of each other.
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Key words
:
stock
momentum; industry momentum; profitability; independence
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JEL classification
:
G11;
G12; G15
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