When competing momentum hypotheses really do not compete: How the sources of momentum profits change through time

Ding Du, Boyce Watkins

Research output: Contribution to journalArticle

9 Scopus citations

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 languageEnglish (US)
Pages (from-to)130-143
Number of pages14
JournalJournal of Economics and Business
Volume59
Issue number2
DOIs
StatePublished - Mar 2007
Externally publishedYes

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Keywords

  • Autocorrelation
  • Market efficiency
  • Momentum

ASJC Scopus subject areas

  • Business, Management and Accounting(all)

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