Industry- and liquidity-based momentum in Australian equities

Financial Innovation

Table 3 Performance of Industry Momentum Trading Strategies (September 1995 to September 2014)

Strategy	Winner	Loser	Winner-Loser
J3K3	0.0175	0.0078	0.0097	*******
J3K3	5.97	2.99	4.74
J3K6	0.0167	0.0095	0.0073	*******
J3K6	7.71	4.84	5.35
J3K9	0.0169	0.0099	0.0071	*******
J3K9	8.55	6.37	6.26
J3K12	0.0160	0.0103	0.0057	*******
J3K12	9.86	8.13	6.85
J6K3	0.0149	0.0093	0.0056	*******
J6K3	5.17	3.39	2.44
J6K6	0.0157	0.0099	0.0059	*******
J6K6	6.52	4.99	3.51
J6K9	0.0158	0.0100	0.0059	*******
J6K9	7.50	6.42	4.61
J6K12	0.0161	0.0106	0.0055	*******
J6K12	8.79	8.45	5.25
J9K3	0.0179	0.0081	0.0098	*******
J9K3	5.94	3.31	4.11
J9K6	0.0165	0.0091	0.0075	*******
J9K6	6.85	5.30	4.21
J9K9	0.0165	0.0099	0.0067	*******
J9K9	7.81	7.44	4.51
J9K12	0.0158	0.0108	0.0050	*******
J9K12	8.60	10.01	4.03
J12K3	0.0171	0.0081	0.0090	*******
J12K3	5.59	3.35	3.75
J12K6	0.0163	0.0094	0.0070	*******
J12K6	6.38	5.62	3.74
J12K9	0.0156	0.0108	0.0048	*******
J12K9	6.98	8.33	3.03
J12K12	0.0154	0.0117	0.0037	*******
J12K12	8.15	10.79	2.84

Sample industries were ranked by their past J-month returns. The top (bottom) 20% of performers were assigned to the winner (loser) industry portfolio. There was a one-month gap between the formation and investment periods. A long (short) position was then taken for the winner (loser) industry portfolio. Winner minus loser represents the momentum returns. All of the returns are on a monthly basis. The t-statistics are italicized; *** represents a 1% significance level
Bold entries have significant values