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Concurrent momentum and contrarian strategies in the Australian stock market

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We investigate the coexistence of momentum and contrarian strategies in the Australian equity market from 1992-2011. We show that contrarian strategies prevail in the short-term investment horizon while momentum strategies dominate the intermediate-and long-term horizons.

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  • Doan, Minh Phuong & Alexeev, Vitali & Brooks, Robert, 2014. "Concurrent momentum and contrarian strategies in the Australian stock market," Working Papers 2014-02, University of Tasmania, Tasmanian School of Business and Economics, revised 13 May 2014.
  • Handle: RePEc:tas:wpaper:17830
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    Keywords

    technical analysis; momentum and contratian strategies; model based bootstrap;

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