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Cross-Industry Momentum
Lior Menzly University of Chicago - Booth School of Business Oguzhan Ozbas University of Southern California - Marshall School of Business - Finance and Business Economics Department February 2006 AFA 2005 Philadelphia Meetings Abstract: This paper documents a strong cross-momentum effect among industries that are related to each other along the supply chain. Specifically, trading strategies that buy and sell industries based on respectively high and low past returns in related upstream or downstream industries yield significant profits. Cross-industry momentum is distinct from previously documented stock- and industry-level momentum, and other known return factors. Working Paper Series Date posted: March 18, 2004 ; Last revised: February 23, 2006Suggested CitationContact Information
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