INDUSTRY MOMENTUM IN AN EARLIER TIME: EVIDENCE FROM THE COWLES DATA

Virtually all evidence on the efficacy of momentum strategies arises from the post‐1962 era, and momentum returns across different markets and asset classes are highly positively correlated. We examine industry momentum in an earlier time and find that these strategies would have earned gross returns over the 1900–1925 period that are at least equal to those in the modern era; however, there is little evidence of profitability before 1900. The paucity of industry coverage in the earlier years of the Cowles database likely does not explain this differential profitability. We also show that the market state dependence of momentum strategies in the 1900–1925 period is similar to the modern era.