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What should we know about momentum investing? The case of the Australian Security Exchange

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  • Galariotis, Emilios C.
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    Abstract

    This paper investigates Australian momentum strategies and their performance stability separately employing two samples a) the S&P/ASX 200 constituents and b) all market securities; for different time periods and market states. To avoid transaction intensive strategies, non-overlapping portfolios are employed. Results show that momentum performance is not sample specific and is positive in all cases, yet at varying magnitudes for different states and years. The profits are robust to univariate and multivariate risk considerations, seasonality (which is however present), and to different starting months.

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    Bibliographic Info

    Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

    Volume (Year): 18 (2010)
    Issue (Month): 4 (September)
    Pages: 369-389

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    Handle: RePEc:eee:pacfin:v:18:y:2010:i:4:p:369-389

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    Web page: http://www.elsevier.com/locate/pacfin

    Related research

    Keywords: Momentum Fama French model Australian Security Exchange;

    References

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    Cited by:
    1. Tajaddini, Reza & Crack, Timothy Falcon, 2012. "Do momentum-based trading strategies work in emerging currency markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 521-537.
    2. Yao, Yaqiong, 2012. "Momentum, contrarian, and the January seasonality," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2757-2769.

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