Does industry concentration drive the value premium?

Abstract

This 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.

Date of Award	18 Jul 2025
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Francisco José Guedes dos Santos (Supervisor)