Reproducibility in Finance - 'Can ETFs be used to exploit country and industry momentum' Paper

Table of Contents

Introduction

Welcome to another post on reproducibility in finance literature! In this post, we’ll discuss the reproduced results of the paper “Can ETFs be used to exploit country and industry momentum"¹

Data

The data in this paper is mainly used from following sources:

• Kenneth French Data Library
• Center for Research in Security Prices (CRSP)
• Thomson Reuters Datastream

Results

Table 1: Descriptive statistics industry portfolios 1926-2009

Original Paper Table	Reproduced Table

Table 2: Raw returns from industry momentum strategies 1926-2009

Panel A: 10 industry portfolios – Winner and Loser consist of one industry portfolio

Original Paper Table	Reproduced Table

Panel B: 10 industry portfolios – Winner and Loser consist of three industry portfolios

Original Paper Table	Reproduced Table

Panel C: 30 industry portfolios – Winner and Loser consist of three industry portfolios

Original Paper Table	Reproduced Table

Table 3: Risk-adjusted returns from industry momentum strategies 1926-2009

Panel A: 10 industry portfolios – Winner and Loser consist of one industry portfolio

Original Paper Table	Reproduced Table

Panel B: 10 industry portfolios – Winner and Loser consist of three industry portfolios

Original Paper Table	Reproduced Table

Panel C: 30 industry portfolios – Winner and Loser consist of three industry portfolios

Original Paper Table	Reproduced Table

Table 4: Descriptive statistics country portfolios 1970-2009

Original Paper Figure	Reproduced Figure

Table 5: Raw returns from country momentum strategies 1970-2009

Panel A: 16 developed countries – Winner and Loser consist of one country

Original Paper Table	Reproduced Table

Panel B: 16 developed countries – Winner and Loser consist of three countries

Original Paper Table	Reproduced Table

Table 6: Risk-adjusted returns from country momentum strategies 1970-2009

Panel A: 16 developed countries – Winner and Loser consist of one country

Original Paper Table	Reproduced Table

Panel B: 16 developed countries – Winner and Loser consist of three countries

Original Paper Table	Reproduced Table

Table 7: Descriptive Statistics ETF returns

Panel A: Industry ETFs

Original Paper Table	Reproduced Table

Panel B: Country ETFs

Original Paper Table	Reproduced Table

Table 8: Raw returns from momentum Strategies using ETFs

Panel A: Industry ETF momentum – Winner and Loser consist of one industry

Original Paper Table	Reproduced Table

Panel B: Industry ETF momentum – Winner and Loser consist of three industries

Original Paper Table	Reproduced Table

Panel C: Country ETF momentum – Winner and Loser consist of one country

Original Paper Table	Reproduced Table

Panel D: Country ETF momentum – Winner and Loser consist of three countries

Original Paper Table	Reproduced Table

Table 9: Risk-adjusted returns from momentum Strategies using ETFs

Panel A: Industry ETF momentum – Winner and Loser consist of one industry

Original Paper Table	Reproduced Table

Panel B: Industry ETF momentum – Winner and Loser consist of three industries

Original Paper Table	Reproduced Table

Panel C: Country ETF momentum – Winner and Loser consist of one country

Original Paper Table	Reproduced Table

Panel D: Country ETF momentum – Winner and Loser consist of three countries

Original Paper Table	Reproduced Table

Appendix Table A1: Industry momentum strategies 1926-2009: one-month skip

Panel A: 10 industry portfolios – Winner and Loser consist of one industry portfolio

Original Paper Table	Reproduced Table

Panel B: 10 industry portfolios – Winner and Loser consist of three industry portfolios

Original Paper Table	Reproduced Table

Panel C: 30 industry portfolios – Winner and Loser consist of three industry portfolios

Original Paper Table	Reproduced Table

Appendix Table A2: Country momentum strategies 1970-2009: one month skip

Panel A: 16 developed countries – Winner and Loser consist of one country

Original Paper Table	Reproduced Table

Panel B: 16 developed countries – Winner and Loser consist of three countries

Original Paper Table	Reproduced Table

Appendix Table A3: Momentum Strategies using ETFs: one-month skip

Panel A: Industry ETF momentum – Winner and Loser consist of one industry

Original Paper Table	Reproduced Table

Panel B: Industry ETF momentum – Winner and Loser consist of three industries

Original Paper Table	Reproduced Table

Panel C: Country ETF momentum – Winner and Loser consist of one country

Original Paper Table	Reproduced Table

Panel D: Country ETF momentum – Winner and Loser consist of three countries

Original Paper Table	Reproduced Table

References