Text-Based Industry Momentum

B-Tier
Journal: Journal of Financial and Quantitative Analysis
Year: 2018
Volume: 53
Issue: 6
Pages: 2355-2388

Authors (2)

Hoberg, Gerard (not in RePEc) Phillips, Gordon M. (Dartmouth College)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We test the hypothesis that low-visibility shocks to text-based network industry peers can explain industry momentum. We consider industry peer firms identified through 10-K product text and focus on economic peer links that do not share common Standard Industrial Classification (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 are consistent with momentum profits arising partially from inattention to economic links of less visible industry peers.

Technical Details

RePEc Handle
repec:cup:jfinqa:v:53:y:2018:i:06:p:2355-2388_00
Journal Field
Finance
Author Count
2
Added to Database
2026-01-29