Industry momentum in Latin America

We examine whether high-return industries outperform low-return industries in Latin America. Differences in performance between recent winner and loser industries are very often indistinguishable from zero. Evaluating the segment of small and large industries also points us to a lack of return conti...

Full description

Autores:
Berggrun, Luis
Cardona, Emilio
Lizarzaburu Bolaños, Edmundo R.
Tipo de recurso:
Article of investigation
Fecha de publicación:
2023
Institución:
Colegio de Estudios Superiores de Administración
Repositorio:
Repositorio CESA
Idioma:
eng
OAI Identifier:
oai:repository.cesa.edu.co:10726/5025
Acceso en línea:
http://hdl.handle.net/10726/5025
https://doi.org/10.1016/j.jbusres.2023.113711
Palabra clave:
Emerging markets
Five-factor model
Industry portfolios
Multiple hypothesis testing
Portfolio performance
Rights
openAccess
License
Abierto (Texto Completo)
id CESA2_7deb773f5eed4beac97db7fc9f8f4803
oai_identifier_str oai:repository.cesa.edu.co:10726/5025
network_acronym_str CESA2
network_name_str Repositorio CESA
repository_id_str
spelling Berggrun, Luisaa243905-4ac7-476f-836d-5dd836dc0bcf600Cardona, Emilioecf99039-c466-45ac-ae92-0595379ee084600Lizarzaburu Bolaños, Edmundo R.9254c9ab-b3c5-4d65-a203-b13fbb744196600Berggrun, Luis [0000-0002-8489-0818]Lizarzaburu Bolaños, Edmundo R. [0000-0002-8862-5624]Berggrun, Luis [37057140100]Cardona, Emilio [57069944700]Lizarzaburu Bolaños, Edmundo R. [55617076500]2023-06-21T22:22:56Z2023-06-21T22:22:56Z2023-030148-2963http://hdl.handle.net/10726/5025instname:Colegio de Estudios Superiores de Administración – CESAreponame:Biblioteca Digital – CESArepourl:https://repository.cesa.edu.co/1873-7978https://doi.org/10.1016/j.jbusres.2023.113711engElsevier Inc.Emerging marketsFive-factor modelIndustry portfoliosMultiple hypothesis testingPortfolio performanceIndustry momentum in Latin Americaarticlehttp://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articlehttp://purl.org/redcol/resource_type/ARThttp://purl.org/coar/version/c_71e4c1898caa6e32info:eu-repo/semantics/openAccessAbierto (Texto Completo)http://purl.org/coar/access_right/c_abf2We examine whether high-return industries outperform low-return industries in Latin America. Differences in performance between recent winner and loser industries are very often indistinguishable from zero. Evaluating the segment of small and large industries also points us to a lack of return continuation across industries. Employing idiosyncratic returns instead of total returns to differentiate between winner and loser industries confirms that industry momentum does not hold in the region. Furthermore, momentum for individual industries is also absent. Overall, obtaining profits from persistent return differences between or within industries would have been very difficult in our sample period.https://orcid.org/0000-0002-8489-0818https://orcid.org/0000-0002-8862-5624https://www.scopus.com/authid/detail.uri?authorId=37057140100https://www.scopus.com/authid/detail.uri?authorId=57069944700https://www.scopus.com/authid/detail.uri?authorId=55617076500158Journal of Business Research10726/5025oai:repository.cesa.edu.co:10726/50252023-10-02 20:42:01.556metadata only accessBiblioteca Digital - CESAbiblioteca@cesa.edu.co
dc.title.eng.fl_str_mv Industry momentum in Latin America
title Industry momentum in Latin America
spellingShingle Industry momentum in Latin America
Emerging markets
Five-factor model
Industry portfolios
Multiple hypothesis testing
Portfolio performance
title_short Industry momentum in Latin America
title_full Industry momentum in Latin America
title_fullStr Industry momentum in Latin America
title_full_unstemmed Industry momentum in Latin America
title_sort Industry momentum in Latin America
dc.creator.fl_str_mv Berggrun, Luis
Cardona, Emilio
Lizarzaburu Bolaños, Edmundo R.
dc.contributor.author.spa.fl_str_mv Berggrun, Luis
Cardona, Emilio
Lizarzaburu Bolaños, Edmundo R.
dc.contributor.orcid.none.fl_str_mv Berggrun, Luis [0000-0002-8489-0818]
Lizarzaburu Bolaños, Edmundo R. [0000-0002-8862-5624]
dc.contributor.scopus.none.fl_str_mv Berggrun, Luis [37057140100]
Cardona, Emilio [57069944700]
Lizarzaburu Bolaños, Edmundo R. [55617076500]
dc.subject.none.fl_str_mv Emerging markets
Five-factor model
Industry portfolios
Multiple hypothesis testing
Portfolio performance
topic Emerging markets
Five-factor model
Industry portfolios
Multiple hypothesis testing
Portfolio performance
description We examine whether high-return industries outperform low-return industries in Latin America. Differences in performance between recent winner and loser industries are very often indistinguishable from zero. Evaluating the segment of small and large industries also points us to a lack of return continuation across industries. Employing idiosyncratic returns instead of total returns to differentiate between winner and loser industries confirms that industry momentum does not hold in the region. Furthermore, momentum for individual industries is also absent. Overall, obtaining profits from persistent return differences between or within industries would have been very difficult in our sample period.
publishDate 2023
dc.date.accessioned.none.fl_str_mv 2023-06-21T22:22:56Z
dc.date.available.none.fl_str_mv 2023-06-21T22:22:56Z
dc.date.issued.none.fl_str_mv 2023-03
dc.type.none.fl_str_mv article
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
dc.type.coar.none.fl_str_mv http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.driver.none.fl_str_mv info:eu-repo/semantics/article
dc.type.redcol.none.fl_str_mv http://purl.org/redcol/resource_type/ART
dc.type.coarversion.none.fl_str_mv http://purl.org/coar/version/c_71e4c1898caa6e32
format http://purl.org/coar/resource_type/c_2df8fbb1
dc.identifier.issn.none.fl_str_mv 0148-2963
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10726/5025
dc.identifier.instname.none.fl_str_mv instname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponame.none.fl_str_mv reponame:Biblioteca Digital – CESA
dc.identifier.repourl.none.fl_str_mv repourl:https://repository.cesa.edu.co/
dc.identifier.eissn.none.fl_str_mv 1873-7978
dc.identifier.doi.none.fl_str_mv https://doi.org/10.1016/j.jbusres.2023.113711
identifier_str_mv 0148-2963
instname:Colegio de Estudios Superiores de Administración – CESA
reponame:Biblioteca Digital – CESA
repourl:https://repository.cesa.edu.co/
1873-7978
url http://hdl.handle.net/10726/5025
https://doi.org/10.1016/j.jbusres.2023.113711
dc.language.iso.none.fl_str_mv eng
language eng
dc.relation.citationvolume.none.fl_str_mv 158
dc.relation.ispartofjournal.none.fl_str_mv Journal of Business Research
dc.rights.accessrights.none.fl_str_mv info:eu-repo/semantics/openAccess
dc.rights.local.none.fl_str_mv Abierto (Texto Completo)
dc.rights.coar.none.fl_str_mv http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
rights_invalid_str_mv Abierto (Texto Completo)
http://purl.org/coar/access_right/c_abf2
dc.publisher.none.fl_str_mv Elsevier Inc.
publisher.none.fl_str_mv Elsevier Inc.
institution Colegio de Estudios Superiores de Administración
repository.name.fl_str_mv Biblioteca Digital - CESA
repository.mail.fl_str_mv biblioteca@cesa.edu.co
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