Article ID Journal Published Year Pages File Type
958148 Journal of Economics and Business 2007 14 Pages PDF
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.

Related Topics
Social Sciences and Humanities Business, Management and Accounting Strategy and Management
Authors
, ,