Industry Style Premiums

43 Pages Posted: 3 Dec 2012

See all articles by Xiao Qiao

Xiao Qiao

City University of Hong Kong (CityU)

Date Written: September 24, 2012

Abstract

Size, value, and momentum are well known common factors to stock returns. I document size, value, and momentum premiums in industries are strongly correlated with themselves across industries. The correlation structures indicate strong common factor structure at the industry level. The strong correlation structures at the industry level suggest these styles cannot be explained at the industry level. The correlation structures are time-varying. The average correlation of size, value, and momentum may be interpreted as “industry connectedness” and be used to forecast macroeconomic variables.

Keywords: Industry, Size, Value, Momentum, Fama-French, Forecasting

Suggested Citation

Qiao, Xiao, Industry Style Premiums (September 24, 2012). Available at SSRN: https://ssrn.com/abstract=2184524 or http://dx.doi.org/10.2139/ssrn.2184524

Xiao Qiao (Contact Author)

City University of Hong Kong (CityU) ( email )

Hong Kong

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