Percorrer por autor "Tavares, Diogo Alexandre Silva"
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- Does industry concentration drive the value premium?Publication . Tavares, Diogo Alexandre Silva; Santos, Francisco José Guedes dosThis study investigates whether industry concentration drives the value premium, reproducing its documented effect on momentum. Replicating and extending the framework of Moskowitz & Grinblatt’s (1999), this analysis constructs strategies isolating industry effects for both the momentum and value anomalies for U.S. equities. While an overall decay and industry-components dependence by momentum premia is reported, value premia shows different patterns. Pure value strategies generate non-significant premiums, with Industry Neutral strategies achieving robust 0,37% monthly returns, signalling firm-specific characteristics dependence. Excess-industry and cross-sector contrarian value strategies report non-significant premiums, indicating minimal industry influence. Thus, while momentum profitability is amplified by industry concentration, we do not observe the same effect for value.