From: Industry- and liquidity-based momentum in Australian equities
Strategy | Panel C: Industrial Goods & Services | Panel D: Health Care | Â | |||||
---|---|---|---|---|---|---|---|---|
Winner | Loser | Winner-Loser | Â | Winner | Loser | Winner-Loser | Â | |
J3K3 | 0.0149 | 0.0052 | 0.0097 | *** | 0.0269 | 0.0107 | 0.0162 | *** |
4.55 | 1.49 | 3.40 | Â | 6.32 | 2.45 | 4.06 | Â | |
J3K6 | 0.0165 | 0.0085 | 0.0080 | *** | 0.0227 | 0.0163 | 0.0064 | *** |
6.71 | 3.19 | 4.54 | Â | 7.33 | 5.40 | 2.72 | Â | |
J3K9 | 0.0150 | 0.0079 | 0.0071 | *** | 0.0203 | 0.0173 | 0.0030 | Â |
7.73 | 3.76 | 6.15 | Â | 8.04 | 6.76 | 1.70 | Â | |
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 | Â | 5.98 | 2.87 | 2.38 | Â | |
J6K6 | 0.0151 | 0.0083 | 0.0068 | *** | 0.0224 | 0.0167 | 0.0058 | Â |
6.49 | 3.20 | 3.71 | Â | 7.01 | 4.97 | 1.84 | Â | |
J6K9 | 0.0127 | 0.0087 | 0.0040 | *** | 0.0190 | 0.0174 | 0.0016 | Â |
6.72 | 4.14 | 3.19 | Â | 7.30 | 6.15 | 0.75 | Â | |
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 | Â | 0.0232 | 0.0147 | 0.0085 | Â |
4.86 | 2.28 | 2.31 | Â | 5.20 | 3.02 | 1.64 | Â | |
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 | Â | 0.0160 | 0.0145 | 0.0015 | Â |
2.90 | 1.87 | 0.69 | Â | 4.29 | 3.01 | 0.31 | Â | |
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 |  |