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Momentum in real economy and industry stock returns

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  • Eichel, Ron

Abstract

This study investigates the relationship between the real economy and stock prices in the context of momentum strategies. While past research has examined momentum in terms of data embedded in market activity, we show that momentum is affected by data from real activity. Using United States sectoral output indices, we show that once the industry effect is considered, the momentum in stocks may lose significance in many cases. In several strategies, the influence of real sectors generates significant anomalous returns and remains robust even when the influence of stock indices is taken into account.

Suggested Citation

  • Eichel, Ron, 2021. "Momentum in real economy and industry stock returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 32(C).
    • Handle: RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001209
    DOI: 10.1016/j.jbef.2021.100576
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    References listed on IDEAS

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    Cited by:

    1. Cai, Xing & Xia, Wei & Huang, Weihua & Yang, Haijun, 2024. "Dynamics of momentum in financial markets based on the information diffusion in complex social networks," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).

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    More about this item

    Keywords

    Momentum; Investments; Market returns; Size; Factor investing; Real sectors; Economic sectors;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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