Cross-Industry Momentum

37 Pages Posted: 18 Mar 2004

See all articles by Lior Menzly

Lior Menzly

University of Chicago - Booth School of Business

Oguzhan Ozbas

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

Date Written: February 2006

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.

Suggested Citation

Menzly, Lior and Ozbas, Oguzhan, Cross-Industry Momentum (February 2006). AFA 2005 Philadelphia Meetings, Available at SSRN: https://ssrn.com/abstract=517822 or http://dx.doi.org/10.2139/ssrn.517822

Lior Menzly

University of Chicago - Booth School of Business ( email )

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Oguzhan Ozbas (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
213-740-0781 (Phone)
213-740-6650 (Fax)

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