Text-Based Industry Momentum

71 Pages Posted: 4 Oct 2014 Last revised: 1 Jul 2017

See all articles by Gerard Hoberg

Gerard Hoberg

University of Southern California - Marshall School of Business - Finance and Business Economics Department

Gordon M. Phillips

Dartmouth College - Tuck School of Business; National Bureau of Economic Research (NBER)

Date Written: June 1, 2017

Abstract

We test the hypothesis that low visibility shocks to text-based network industry peers can explain industry momentum. We consider industry peer firms identified through 10-K product text and focus on economic peer links that do not share common SIC codes. Shocks to less visible peers generate economically large momentum profits, and are stronger than own-firm momentum variables. More visible traditional SIC-based peers generate only small, short-lived momentum profits. Our findings are consistent with momentum profits arising partially from inattention to economic links of less visible industry peers.

Keywords: Momentum, Information Processing, Industry Shocks, Stock Returns, Alpha, Trading Strategies, Market Efficiency, Reversals

JEL Classification: G11, G12, G14

Suggested Citation

Hoberg, Gerard and Phillips, Gordon M., Text-Based Industry Momentum (June 1, 2017). Available at SSRN: https://ssrn.com/abstract=2504738 or http://dx.doi.org/10.2139/ssrn.2504738

Gerard Hoberg (Contact Author)

University of Southern California - Marshall School of Business - Finance and Business Economics Department ( email )

Marshall School of Business
Los Angeles, CA 90089
United States

HOME PAGE: http://www-bcf.usc.edu/~hoberg/

Gordon M. Phillips

Dartmouth College - Tuck School of Business ( email )

Hanover, NH 03755
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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