“…Trading strategy. We follow previous studies (e.g., Amaya et al, 2015;Liu et al, 2016;Badreddine and Clark, 2021;Chen et al, 2022) and employ a double-sorting strategy to rank industries based on past volatility and then past returns. For each month t, we rank industries into three groups based on their past realised volatility over the E-month (E = 1, 3, 6, 9, 12, 24) estimation period.…”