Realised volatility and industry momentum returns
File version
Version of Record (VoR)
Author(s)
Li, Bin
Worthington, Andrew C
Griffith University Author(s)
Primary Supervisor
Other Supervisors
Editor(s)
Date
Size
File type(s)
Location
Abstract
Motivated by the importance of industry volatility and the profitability of industry momentum strategy, this study investigates the relationship between realised volatility and industry momentum returns. The analysis uses daily return data for 48 US industries from July 1969 to June 2021 to calculate realised volatility and to gauge the raw return effect on short- and medium-horizon double-sort momentum-trading strategies. The findings show that past volatility positively relates to industry momentum and that this relationship is stronger after controlling for common risk factors (market, size, value, investment, and profitability). Decomposing the realised total volatility into idiosyncratic and systematic components, this study reveals that both decomposed components are positively related to industry momentum returns. The findings are robust to alternative measures of volatility.
Journal Title
Humanities and Social Sciences Communications
Conference Title
Book Title
Edition
Volume
9
Issue
Thesis Type
Degree Program
School
Publisher link
Patent number
Funder(s)
Grant identifier(s)
Rights Statement
Rights Statement
© The Author(s) 2022. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons license, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons license and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this license, visit http://creativecommons.org/licenses/by/4.0/.
Item Access Status
Note
Access the data
Related item(s)
Subject
Business process management
Arts & Humanities
Social Sciences
Humanities, Multidisciplinary
Social Sciences, Interdisciplinary
Arts & Humanities - Other Topics
Persistent link to this record
Citation
Chen, X; Li, B; Worthington, AC, Realised volatility and industry momentum returns, Humanities and Social Sciences Communications, 2022, 9, pp. 287