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Momentum in Australian Stock Returns: An Update

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Author Info
A. S. Hurn () (QUT)
V.Pavlov () (QUT)

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Abstract

It has been documented that a momentum investment strategy based on buying past well performing stocks while selling past losing stocks, is a profitable one in the Australian context particularly in the 1990s. The aim of this short paper is to investigate whether or not this feature of Australian stock returns is still evident. The paper confirms the presence of a medium-term momentum effect, but also provides some interesting new evidence on the importance of the size effect on momentum.

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File URL: http://www.ncer.edu.au/papers/documents/WpNo23Feb08.pdf
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Publisher Info
Paper provided by National Centre for Econometric Research in its series NCER Working Paper Series with number 23.

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Length: 17
Date of creation: 26 Feb 2008
Date of revision: 26 Feb 2008
Handle: RePEc:qut:auncer:2008-12

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Related research
Keywords: Stock returns; Momentum portfolios; Size effect;

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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References listed on IDEAS
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  1. K. Geert Rouwenhorst, 1998. "International Momentum Strategies," Journal of Finance, American Finance Association, vol. 53(1), pages 267-284, 02. [Downloadable!] (restricted)
    Other versions:
  2. Ben R. Marshall & Rachael M. Cahan, 2005. "Is the 52-week high momentum strategy profitable outside the US?," Applied Financial Economics, Taylor and Francis Journals, vol. 15(18), pages 1259-1267, December. [Downloadable!] (restricted)
  3. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March. [Downloadable!] (restricted)
  4. Tobias J. Moskowitz & Mark Grinblatt, 1999. "Do Industries Explain Momentum?," Journal of Finance, American Finance Association, vol. 54(4), pages 1249-1290, 08. [Downloadable!] (restricted)
    Other versions:
  5. Demir, Isabelle & Muthuswamy, Jay & Walter, Terry, 2004. "Momentum returns in Australian equities: The influences of size, risk, liquidity and return computation," Pacific-Basin Finance Journal, Elsevier, vol. 12(2), pages 143-158, April. [Downloadable!] (restricted)
  6. Narasimhan Jegadeesh, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, vol. 56(2), pages 699-720, 04. [Downloadable!] (restricted)
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This page was last updated on 2009-11-30.

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