Momentum and Contrarian Strategies of Related Industries with Skipping a Month

摘要

Using data based on Input-Output accounts of China, we find that strategies with skipping a monthsorted by lagged returns of supplier industries or customer industries have contrarian effect or momentum ef-fect. Indeed, strategies sorted by customer industries mainly exhibit momentum effects and strategies sortedby supplier industries mainly exhibit contrarian effects. Moreover, both the momentum effects and contrarianeffects are not significant in short period. In longer period, the effects seem more significant.