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This dissertation provides three empirical studies of industry performance related to different financial market cycles. Popular belief holds that industries provide systematic cyclical performance. Such systematic performance would present a challenge to basic assumptions of market efficiency. The three industry cycles investigated are sentiment cycles, political cycles, and business cycles. The first study investigates the interaction between three popular investor-sentiment measures and industry performance. Investor sentiment has a widespread and systematic effect on industry performance. Similar to prior market studies, investor sentiment predicts short-term industry mispricing. Predictable long-term industry reversals are weaker. Moreover, the effect of investor sentiment is widespread, with limited evidence of cross-sectional industry differences. Unlike prior market studies, there is no evidence of a relationship between investor sentiment and industry characteristics that serve as a proxy for valuation uncertainty. Lastly, an industry rotation strategy based on investor sentiment generates marginal outperformance, which turnover and transaction costs would consume. Results generally show that investor sentiment has a market-wide effect, questioning its usefulness in timing industry investments. The second study examines industry returns for presidential election cycles. Risk adjusted industry returns provide no evidence of political cycles previously documented in the U.S. stock market. In spite of the existence of market-wide effects, realized industry returns exhibit neither systematic nor persistent outperformance related to a president’s political affiliation or the year of a president’s term. Expected industry performance is equally unaffected by political cycles, exhibiting no systematic response to presidential elections and indicating that the market does not systematically price a president’s political affiliation in industry returns. The study’s r