Intermediate Industry Momentum: The Global Evidence
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Abstract
Novy-Marx (2012) shows that, in the US, intermediate momentum portfolios formed from individual stocks' performance 12 to seven months prior to the current month significantly outperform portfolios formed on returns from six to two months prior. Industry momentum strategies provide an alternative method to verify the robustness of intermediate momentum. Looking for international evidence of intermediate industry momentum in 23 countries. To find evidence of intermediate industry momentum in only 3 large developed countries. In 20 countries, intermediate industry momentum portfolios do not outperform recent industry momentum portfolios formed on returns from six to two months prior. In several countries, the opposite was true. Intermediate industry momentum is not a worldwide phenomenon. However, in the 3 large developed countries of United States, France, and Germany, intermediate industry momentum portfolios significantly outperform recent industry momentum portfolios.
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