Momentum and reversals in industry portfolio returns

Ding Du

Research output: Contribution to journalArticlepeer-review

3 Scopus citations


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.

Original languageEnglish (US)
Pages (from-to)50-63
Number of pages14
JournalInternational Research Journal of Finance and Economics
StatePublished - Nov 2009


  • Industry Portfolio Returns
  • Reversals
  • Weekly Momentum

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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