We test the hypothesis that low visibility shocks to text-based network industry peers can explain industry momentum … common SIC codes. Shocks to less visible peers generate economically large momentum profits, and are stronger than own …-firm momentum variables. More visible traditional SIC-based peers generate only small, short-lived momentum profits. Our findings …

We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive … returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the … momentum-sorted portfolios entirely but not the reverse. Thus, momentum can be considered an imperfect proxy for acceleration …

, and the market factor price stock returns. Our three factors span size, value, investment, profitability, and momentum …

return of stocks as well as the market, size, value, and momentum factors. …

This is the first paper analyzing the impact of index momentum factors on the performance of international and global … factors of country momentum and sector momentum, we find that more than 50% of funds exhibit significant exposure to at least … funds. Our main results are robust against models which additionally cover a stock-based momentum factor as well as single …