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Momentum in weekly industry portfolio returns: Working paper series--08-13

Du, Ding (2008) Momentum in weekly industry portfolio returns: Working paper series--08-13. Working Paper. NAU W.A. Franke College of Business.


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Contrary to Lehmann (1990) and Jegadeesh (1990), Gutierrez and Kelley (2008) recently find a long-lasting momentum in weekly individual stock returns. We extend Gutierrez and Kelley (2008) and examine momentum in weekly industry portfolio returns. We find that where momentum in six-month returns is mainly explained by cross-serial correlations as in Lewellen (2002), momentum in weekly returns is largely due to serial correlations, and that momentum does not always exhibit reversals in the long run. Our findings present a challenge to the popular behavioral models.

Item Type: Monograph (Working Paper)
Publisher’s Statement: Copyright, where appropriate, is held by the author.
ID number or DOI: 08-13
Keywords: Working paper, Weekly Momentum, Industry Portfolio Returns, Reversals
Subjects: H Social Sciences > HG Finance
NAU Depositing Author Academic Status: Faculty/Staff
Department/Unit: The W.A. Franke College of Business
Date Deposited: 17 Oct 2015 23:13
URI: http://openknowledge.nau.edu/id/eprint/1522

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