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Momentum in weekly returns: the role of intermediate-horizon past performance

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  • Daniel Chai
  • Manapon Limkriangkrai
  • Philip Inyeob Ji

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  • Daniel Chai & Manapon Limkriangkrai & Philip Inyeob Ji, 2017. "Momentum in weekly returns: the role of intermediate-horizon past performance," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57, pages 45-68, April.
    • Handle: RePEc:bla:acctfi:v:57:y:2017:i::p:45-68
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    File URL: http://hdl.handle.net/10.1111/acfi.12144
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    References listed on IDEAS

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    1. Tim Brailsford & Michael A. O'Brien, 2008. "Disentangling Size from Momentum in Australian Stock Returns," Australian Journal of Management, Australian School of Business, vol. 32(3), pages 463-484, March.
    2. Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    3. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    4. Jegadeesh, Narasimhan, 1990. "Evidence of Predictable Behavior of Security Returns," Journal of Finance, American Finance Association, vol. 45(3), pages 881-898, July.
    5. Gong, Qiang & Liu, Ming & Liu, Qianqiu, 2015. "Momentum is really short-term momentum," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 169-182.
    6. Galariotis, Emilios C., 2010. "What should we know about momentum investing? The case of the Australian Security Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 18(4), pages 369-389, September.
    7. Ben Marshall & Rachael Cahan, 2005. "Is the 52-week high momentum strategy profitable outside the US?," Applied Financial Economics, Taylor & Francis Journals, vol. 15(18), pages 1259-1267.
    8. Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
    9. 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.
    10. Stan Hurn & Vlad Pavlov, 2003. "Momentum in Australian Stock Returns," Australian Journal of Management, Australian School of Business, vol. 28(2), pages 141-155, September.
    11. Narasimhan Jegadeesh & Sheridan Titman, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, vol. 56(2), pages 699-720, April.
    12. Fama, Eugene F. & French, Kenneth R., 2012. "Size, value, and momentum in international stock returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 457-472.
    13. Bruce N. Lehmann, 1990. "Fads, Martingales, and Market Efficiency," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 105(1), pages 1-28.
    14. Roberto C. Gutierrez & Eric K. Kelley, 2008. "The Long‐Lasting Momentum in Weekly Returns," Journal of Finance, American Finance Association, vol. 63(1), pages 415-447, February.
    15. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    16. Lee, Darren D. & Chan, Howard & Faff, Robert W. & Kalev, Petko S., 2003. "Short-term contrarian investing--is it profitable? ... Yes and No," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 385-404, December.
    17. K. Geert Rouwenhorst, 1999. "Local Return Factors and Turnover in Emerging Stock Markets," Journal of Finance, American Finance Association, vol. 54(4), pages 1439-1464, August.
    18. Tim Brailsford & Clive Gaunt & Michael A O’Brien, 2012. "Size and book-to-market factors in Australia," Australian Journal of Management, Australian School of Business, vol. 37(2), pages 261-281, August.
    19. Bettman, Jenni L. & Maher, Thomas R.B. & Sault, Stephen J., 2009. "Momentum profits in the Australian equity market: A matched firm approach," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 565-579, November.
    20. Charles M.C. Lee & Bhaskaran Swaminathan, 2000. "Price Momentum and Trading Volume," Journal of Finance, American Finance Association, vol. 55(5), pages 2017-2069, October.
    21. 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.
    22. Zhong, Angel & Limkriangkrai, Manapon & Gray, Philip, 2014. "Anomalies, risk adjustment and seasonality: Australian evidence," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 207-218.
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    Cited by:

    1. Koziol, Christian & Proelss, Juliane, 2021. "An explanation for momentum with a rational model under symmetric information – Evidence from cross country equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 70(C).
    2. Zhaobo Zhu & Licheng Sun & Jun Tu, 2021. "Earnings momentum meets short‐term return reversal," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 2379-2405, April.

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