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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Yale School of Management Working Papers
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