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Table 5 (Part II). Industry-Neutral Momentum Portfolios

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

Strategy

Panel C: Industrial Goods & Services

Panel D: Health Care

 

Winner

Loser

Winner-Loser

 

Winner

Loser

Winner-Loser

 

J3K3

0.0149

0.0052

0.0097

***

0.0269

0.0107

0.0162

***

4.55

1.49

3.40

 

6.32

2.45

4.06

 

J3K6

0.0165

0.0085

0.0080

***

0.0227

0.0163

0.0064

***

6.71

3.19

4.54

 

7.33

5.40

2.72

 

J3K9

0.0150

0.0079

0.0071

***

0.0203

0.0173

0.0030

 

7.73

3.76

6.15

 

8.04

6.76

1.70

 

J3K12

0.0130

0.0103

0.0027

***

0.0175

0.0182

−0.0007

 

8.06

5.78

3.44

 

8.16

7.81

−0.59

 

J6K3

0.0156

0.0084

0.0072

**

0.0246

0.0138

0.0108

**

5.04

2.33

2.28

 

5.98

2.87

2.38

 

J6K6

0.0151

0.0083

0.0068

***

0.0224

0.0167

0.0058

 

6.49

3.20

3.71

 

7.01

4.97

1.84

 

J6K9

0.0127

0.0087

0.0040

***

0.0190

0.0174

0.0016

 

6.72

4.14

3.19

 

7.30

6.15

0.75

 

J6K12

0.0109

0.0103

0.0007

 

0.0159

0.0193

−0.0034

**

6.80

6.06

0.67

 

7.47

8.22

−2.44

 

J9K3

0.0152

0.0083

0.0069

 

0.0232

0.0147

0.0085

 

4.86

2.28

2.31

 

5.20

3.02

1.64

 

J9K6

0.0129

0.0104

0.0025

 

0.0173

0.0179

−0.0005

 

5.43

3.85

1.21

 

5.59

4.96

−0.15

 

J9K9

0.0120

0.0104

0.0016

 

0.0153

0.0198

−0.0045

 

5.96

4.88

0.98

 

5.87

6.97

−1.78

 

J9K12

0.0096

0.0123

−0.0026

 

0.0109

0.0222

−0.0113

***

5.65

6.94

−1.95

 

5.21

9.62

−6.59

 

J12K3

0.0089

0.0069

0.0020

 

0.0160

0.0145

0.0015

 

2.90

1.87

0.69

 

4.29

3.01

0.31

 

J12K6

0.0100

0.0086

0.0013

 

0.0144

0.0182

−0.0038

 

4.17

3.43

0.67

 

5.14

5.43

−1.24

 

J12K9

0.0090

0.0099

−0.0009

 

0.0098

0.0231

−0.0133

***

4.27

4.95

−0.58

 

4.79

8.36

−6.27

 

J12K12

0.0075

0.0122

−0.0047

***

0.0070

0.0224

−0.0153

***

4.05

7.27

−3.51

 

4.18

10.03

−9.80

 
  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