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Title: Momentum strategies for style and sector indexes
Authors: Chen, LH
Jiang, GJ
Zhu, KX 
Keywords: Style indexes
Sector indexes
Price momentum
Earnings momentum
Transaction costs
Issue Date: 2012
Publisher: Incisive Media
Source: Journal of investment strategies, 2012, v. 1, no. 3, p. 67-89 How to cite?
Journal: Journal of investment strategies 
Abstract: Existing literature documents that cross-sectional stock returns exhibit both price momentum and earnings momentum. In this paper, we examine whether commonly used style and sector indexes also have momentum patterns. We show that style indexes exhibit strong price momentum, but little evidence of earnings momentum. On the other hand, sector indexes exhibit both significant price momentum and earnings momentum. Moreover, we provide evidence that price momentum in style indexes can be explained by individual stock return momentum, whereas price momentum in sector indexes is driven by earnings momentum. Finally, we show that a dynamic momentum strategy can further enhance the performance of style investment even after adjusting for transaction costs.
ISSN: 2047-1238
EISSN: 2047-1246
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