Skip to main content
Financial Innovation

Table 4 (Part I). Industry-Neutral Momentum Portfolios

From: Industry- and liquidity-based momentum in Australian equities

Strategy

Panel A: Basic Resources

Panel B: Oil & Gas

Winner

Loser

Winner-Loser

Winner

Loser

Winner-Loser

J3K3

0.0227

0.0177

0.0050

 

0.0124

0.0116

0.0008

 

4.47

3.56

1.50

 

3.01

2.99

0.26

 

J3K6

0.0253

0.0234

0.0019

 

0.0153

0.0146

0.0006

 

6.23

6.12

0.78

 

5.76

5.06

0.41

 

J3K9

0.0277

0.0261

0.0016

 

0.0155

0.0164

−0.0008

 

8.65

7.61

0.87

 

7.80

6.86

−0.75

 

J3K12

0.0274

0.0254

0.0020

 

0.0158

0.0167

−0.0010

 

10.02

8.44

1.46

 

8.96

8.40

−1.17

 

J6K3

0.0241

0.0215

0.0026

 

0.0113

0.0142

−0.0029

 

4.88

3.94

0.67

 

2.81

3.38

−0.91

 

J6K6

0.0216

0.0259

−0.0043

 

0.0113

0.0169

−0.0056

***

6.47

6.10

−1.52

 

4.34

5.43

−2.80

 

J6K9

0.0235

0.0271

−0.0037

 

0.0135

0.0178

−0.0043

***

8.55

7.49

−1.58

 

6.70

6.85

−2.95

 

J6K12

0.0224

0.0286

−0.0062

***

0.0134

0.0180

−0.0046

***

9.19

8.93

−3.40

 

7.74

8.47

−4.05

 

J9K3

0.0211

0.0227

− 0.0016

 

0.0148

0.0168

−0.0019

 

4.47

3.96

−0.38

 

3.74

3.68

−0.55

 

J9K6

0.0191

0.0256

−0.0065

**

0.0146

0.0174

−0.0028

 

5.90

5.94

−2.07

 

5.53

5.34

−1.22

 

J9K9

0.0199

0.0273

−0.0074

***

0.0142

0.0186

−0.0044

***

7.23

7.61

−3.05

 

7.07

7.30

−2.68

 

J9K12

0.0188

0.0269

−0.0081

***

0.0130

0.0195

−0.0065

***

7.58

8.55

−4.12

 

7.43

9.62

−5.26

 

J12K3

0.0180

0.0190

−0.0010

 

0.0097

0.0143

−0.0045

 

3.84

3.39

−0.23

 

2.39

3.42

−1.41

 

J12K6

0.0190

0.0264

−0.0074

**

0.0100

0.0178

−0.0077

***

5.70

5.95

−2.39

 

3.97

5.71

−3.60

 

J12K9

0.0174

0.0264

−0.0090

***

0.0093

0.0199

−0.0106

***

6.27

7.22

−3.62

 

4.43

8.04

−6.45

 

J12K12

0.0147

0.0266

−0.0119

***

0.0092

0.0198

−0.0107

***

5.60

8.47

−5.41

 

4.99

9.58

−8.53

 
  1. In a given industry, stocks were sorted into quintiles based on past returns. Within each industry, the top 20% of performers were winners, and the bottom 20% were losers. After a one-month lag, a long position was taken as the winner and short as the loser. Momentum returns were calculated as winner returns minus loser returns. All of the returns are on a monthly basis. The t-statistics are italicized; ** represents significance at the 5% level and *** at the 1% level
  2. Bold entries have significant values
Back to article page