Research Added

 Do Industries Explain Momentum?

• Industry portfolios exhibit significant momentum, even after controlling for size, book-to-market equity (BE/ME), individual stock momentum, the cross-sectional dispersion in mean returns, and potential microstructure influences
• Once returns are adjusted for industry effects, momentum profits from individual equities are significantly weaker and, for the most part, are statistically insignificant.
• Industry momentum strategies are more profitable than individual stock momentum strategies. Industry momentum strategies are robust to various specifications and methodologies, and they appear to be profitable even among the largest, most liquid stocks.
• Industry momentum appears to be contributing substantially to the profitability of individual stock momentum strategies, and, except for 12-month individual stock momentum, captures these profits almost entirely
• Unlike individual stock momentum, industry momentum profits remain strong among the largest, most liquid stocks