profitable momentum trading strategies for individual investors

journal article

Act up Industries Explain Momentum?

The Daybook of Finance

Vol. 54, None. 4, Papers and Proceedings, Cardinal-Ninth Period Meeting, American Finance Association, New York, Newfangled York, January 4-6, 1999 (Aug., 1999), pp. 1249-1290 (42 pages)

Published By: Wiley

The Journal of Finance

https://www. jstor .org/stable/798005

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Abstract

This newspaper publisher documents a strong and prevalent momentum effect in industry components of stock returns which accounts for a lot of the individual stock momentum anomaly. Specifically, momentum investment strategies, which purchase past winning stocks and deal out past losing stocks, are importantly less profitable once we control for industriousness momentum. By contrast, manufacture impulse investment funds strategies, which steal stocks from bypast victorious industries and sell stocks from old losing industries, seem highly profitable, even later on controlling for size, book-to-market equity, individual stock momentum, the hybridise-sectioned dispersion in have in mind returns, and expected microstructure influences.

Journal Information

The Journal of Finance publishes leading research crosswise all the major fields of fiscal research. It is the most wide cited scholarly journal on finance and one of the most widely cited journals in economic science atomic number 3 wellspring. Each outcome of the journal reaches over 8,000 academics, finance professionals, libraries, politics and financial institutions around the world. Published six times a year, the journal is the official publication of the American Finance Association, the premier academic arrangement devoted to the study and promotion of knowledge about financial economics. JSTOR provides a digital archive of the print version of The Daybook of Finance. The electronic interpretation of the The Journal of Finance is available at http://World Wide Web.interscience.wiley.com/. Authorized users English hawthorn be able-bodied to access the filled text articles at this locate.

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