Industry momentum: an exchange-traded funds approach

被引：3
作者：
Vanstone, Bruce [1 ]
Hahn, Tobias [2 ]
Earea, Dean [1 ]
机构：
[1] Bond Univ, Gold Coast, Qld, Australia
[2] Dayap Log Pty Ltd, Gold Coast, Qld, Australia
来源：
ACCOUNTING AND FINANCE | 2021年 / 61卷 / 03期
关键词：
Momentum; ETFs; Economic viability; BUSINESS-CYCLE; MUTUAL FUNDS; STRATEGIES; RETURNS; STOCK; RISK; PREDICTABILITY; INVESTORS;
D O I：
10.1111/acfi.12724
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：4007 / 4024
页数：18
相关论文
共 54 条
  • [1] Can exchange traded funds be used to exploit industry and country momentum?
    Andreu L.
    Swinkels L.
    Tjong-A-Tjoe L.
    [J]. Financial Markets and Portfolio Management, 2013, 27 (2): : 127 - 148
  • [2] Value and Momentum Everywhere
    Asness, Clifford S.
    Moskowitz, Tobias J.
    Pedersen, Lasse Heje
    [J]. JOURNAL OF FINANCE, 2013, 68 (03) : 929 - 985
  • [3] Asness CliffordS., 1994, VARIABLES EXPLAIN ST
  • [4] Parallels between the cross-sectional predictability of stock and country returns - Striking similarities in the predictive power of value, momentum, and size.
    Asness, CS
    Liew, JM
    Stevens, RL
    [J]. JOURNAL OF PORTFOLIO MANAGEMENT, 1997, 23 (03) : 79 - &
  • [5] Investing in mutual funds when returns are predictable
    Avramov, Doron
    Wermers, Russ
    [J]. JOURNAL OF FINANCIAL ECONOMICS, 2006, 81 (02) : 339 - 377
  • [6] Momentum in Residential Real Estate
    Beracha, Eli
    Skiba, Hilla
    [J]. JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, 2011, 43 (03) : 299 - 320
  • [7] Bers M K., 2002, Review of Financial Economics, V11, P263, DOI DOI 10.1016/S1058-3300(02)00042-3
  • [8] Macromomentum: Returns predictability in international equity indices
    Bhojraj, S
    Swaminathan, B
    [J]. JOURNAL OF BUSINESS, 2006, 79 (01) : 429 - 451
  • [9] Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes
    Blitz, David C.
    Van Vliet, Pim
    [J]. JOURNAL OF PORTFOLIO MANAGEMENT, 2008, 35 (01) : 23 - +
  • [10] Short-selling bans and institutional investors' herding behaviour: Evidence from the global financial crisis
    Bohl, Martin T.
    Klein, Arne C.
    Siklos, Pierre L.
    [J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2014, 33 : 262 - 269
123456