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Industry momentum: an exchange‐traded funds approach

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  • Bruce Vanstone
  • Tobias Hahn
  • Dean Earea

Abstract

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 United States. We investigate whether industry momentum can be captured by investing with sector exchange‐traded funds (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 remains robust after controlling for risk.

Suggested Citation

  • Bruce Vanstone & Tobias Hahn & Dean Earea, 2021. "Industry momentum: an exchange‐traded funds approach," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4007-4024, September.
    • Handle: RePEc:bla:acctfi:v:61:y:2021:i:3:p:4007-4024
    DOI: 10.1111/acfi.12724
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