Research / Cross-sectional

Residual and industry momentum

Trend measured after removing the market and the industry continues longer than raw trend.

The idea

A trend measured after the market and industry moves are removed continues longer than the raw trend.

Why it might exist

Information about a single firm spreads slowly once the common moves are stripped out.

Who is on the other side

Slow-reacting holders of the firm.

What would retire it

There is no persistence on later data.