Do Industries Explain Momentum?


  • Tobias J. Moskowitz,

  • Mark Grinblatt

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    • Moskowitz is from the Graduate School of Business, University of Chicago (, and Grinblatt is from the Anderson School, University of California at Los Angeles ( We thank Kobi Boudoukh, Ty Callahan, Kent Daniel, Gordon Delianedis, Gene Fama, Rick Green, Jonathan Howe, Narasimhan Jegadeesh, Olivier Ledoit, Richard Roll, Pedro Santa-Clara, René Stulz, Sheridan Titman, Ralph Walkling, Russ Wermers, David Wessels, two anonymous referees, and seminar participants at UCLA, Yale, Harvard, Rochester, Ohio State, Wharton, Columbia, Duke, the University of Colorado at Boulder, the University of Texas at Austin, the University of Chicago, Northwestern, the University of Michigan, the 1998 WFA meetings in Monterey, CA, the 1998 NBER Asset Pricing Conference in Chicago, and the 1999 AFA meetings in New York for valuable comments and insights. Moskowitz thanks the Center for Research in Securities Prices as well as the Dimensional Fund Advisors Research Fund for financial support. Grinblatt thanks the UCLA Academic Senate for financial support.


This paper documents a strong and prevalent momentum effect in industry components of stock returns which accounts for much of the individual stock momentum anomaly. Specifically, momentum investment strategies, which buy past winning stocks and sell past losing stocks, are significantly less profitable once we control for industry momentum. By contrast, industry momentum investment strategies, which buy stocks from past winning industries and sell stocks from past losing industries, appear highly profitable, even after controlling for size, book-to-market equity, individual stock momentum, the cross-sectional dispersion in mean returns, and potential microstructure influences.