Momentum in Sweden: Stock-Level or Industry-Level? Understanding the Source of Momentum

Sammanfattning

This paper shows that momentum in Sweden arises from individual firms rather than industries. We find that individual stocks display strong and persistent momentum at intermediate horizons, and this pattern remains after controlling for industry returns, firm characteristics, short- and long-horizon return effects, and alternative formation and holding periods. By contrast, we find no consistent evidence of industry momentum in either portfolio tests or cross-sectional regressions. When both sources are examined together, only stock-level momentum is statistically significant. These findings suggest that momentum profitability in Sweden is not compensation for nondiversifiable industry risk, but instead stems from behavioral or other risk-based explanations.