Momentum in Australian Stock Returns: An Update
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.
|Date of creation:||26 Feb 2008|
|Date of revision:||26 Feb 2008|
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- K. Geert Rouwenhorst, 1998.
"International Momentum Strategies,"
Journal of Finance,
American Finance Association, vol. 53(1), pages 267-284, 02.
- Tobias J. Moskowitz & Mark Grinblatt, "undated".
"Do Industries Explain Momentum?,"
CRSP working papers
352, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- 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.
- Jonathan Lewellen, 2002. "Momentum and Autocorrelation in Stock Returns," Review of Financial Studies, Society for Financial Studies, vol. 15(2), pages 533-564, March.
- 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.
- 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.
- 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.
- 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.
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