作者：Rıza Demirer (Department of Economics & Finance, Southern Illinois University), Donald Lien (Department of Economics, University of Texas at San Antonio), 张华丞（西南财经大学金融研究院）
摘要：
This paper evaluates the impact of industry herding on return momentum. While the findings support that winner industries outperform loser industries in subsequent months, we find that the profitability of industry momentum strategies depends on the level of herding in an industry. Loser industrieswith high level of herding yield significantly lower subsequent returns than loser industries with low level of herding while no significant difference in subsequent returns is observed for winner industries across low and high herding levels. The asymmetry in the relationship between herding and momentum returns is in fact the driving factor behind profitable, zero-cost momentum strategies and suggests that the level of herding in an industry must be considered in the implementation of industry momentum strategies.
