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Article

Sector Momentum

Jun Wang, Robert Brooks, Xing Lu and Hunter M. Holzhauer
The Journal of Investing Summer 2017, 26 (2) 48-60; DOI: https://doi.org/10.3905/joi.2017.26.2.048
Jun Wang
is an assistant professor of finance in the College of Business at the University of Montevallo, in Montevallo, AL
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Robert Brooks
is a professor of finance in the College of Commerce and Business Administration at the University of Alabama in Tuscaloosa, AL
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Xing Lu
is an assistant professor of finance in the Judd Leighton School of Business and Economics at Indiana University South Bend in South Bend, IN
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Hunter M. Holzhauer
is an assistant professor of finance in the Department of Finance of the UTC College of Business at the University of Tennessee at Chattanooga in Chattanooga, TN
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Abstract

This article examines the monthly returns of nine Select Sector SPDRs and finds historically that buying past outperforming sectors and selling past underperforming sectors produces economically and statistically significant profits. Investors may be able to benefit not only from SPDRs’ low fees, tax efficiency, and trading flexibility but also exploit SPDRs as asset allocation tools to earn excess returns on sector momentum. For robustness checks, we test sector momentum investing strategies on CRSP-listed individual stocks between January 1963 and December 2008 using the Global Industry Classifications Standard and also find statistically significant payoffs. Momentum strategies on sector appear profitable even after potential transaction costs and systematic risk adjustments.

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The Journal of Investing: 26 (2)
The Journal of Investing
Vol. 26, Issue 2
Summer 2017
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Sector Momentum
Jun Wang, Robert Brooks, Xing Lu, Hunter M. Holzhauer
The Journal of Investing May 2017, 26 (2) 48-60; DOI: 10.3905/joi.2017.26.2.048

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Sector Momentum
Jun Wang, Robert Brooks, Xing Lu, Hunter M. Holzhauer
The Journal of Investing May 2017, 26 (2) 48-60; DOI: 10.3905/joi.2017.26.2.048
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  • Article
    • Abstract
    • ETFS VERSUS MUTUAL FUNDS
    • MOMENTUM INVESTING
    • DATA AND METHODOLOGY
    • PROFITABILITY OF MOMENTUM STRATEGIES
    • ROBUSTNESS CHECKS
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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