Abstract
In this study, we examine time variation in the sources of industry momentum. By constructing a method that allows for time variation in unconditional means, autocorrelations, and cross-serial correlations, we find the sources of industry momentum are time varying. Before 1961, serial correlation is the driving force. After 1961, cross-serial correlation becomes the dominant factor. These results are informative, because all currently available explanations for momentum, rational or behavioral, suggest that the sources of momentum are stable. Therefore, these results suggest that more research on momentum may be needed.
Original language | English (US) |
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Pages (from-to) | 130-143 |
Number of pages | 14 |
Journal | Journal of Economics and Business |
Volume | 59 |
Issue number | 2 |
DOIs | |
State | Published - 2007 |
Keywords
- Autocorrelation
- Market efficiency
- Momentum
ASJC Scopus subject areas
- General Business, Management and Accounting
- Economics and Econometrics