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 …

assets. To illustrate the method we use it to evaluate the size, value and momentum anomalies …

than the original factors and contain all the information found in the original factors. Momentum strategies profit from …-series efficient factors, such as an efficient Fama-French five-factor model, therefore prices momentum …

Purpose - The present research aims to examine a range of momentum trading strategies for the tourism and hospitality … that none of these momentum investing strategies was profitable. Most of the results, however, show positive, but … insignificant momentum returns. This finding can be interpreted as price reversal over a horizon of three to twelve months in the US …