Do Momentum Strategies Work?: - Australian Evidence, Discussion Paper No 169
This paper investigates the profitability of momentum investment strategy and the predictive power of trading volume for equities listed in the Australian Stock Exchange. Recent research finds that momentum and trading volume appear to predict subsequent returns in U.S. market and past volume helps to reconcile intermediate-horizon “under reaction‿ and long-horizon “overreaction‿ effects. However, bulk of the evidence on this important relationship between past returns and future returns is limited to U.S. portfolios. This study provides an out of sample evidence by examining the relationship between “trading volume‿ (measured by the turnover ratio) and “momentum‿ strategies in an Australian setting. We document a strong momentum effect for the Australian market during the period 1988 through 2002 and find that momentum plays an important role in providing information about stocks. We also find that past trading volume predicts both the magnitude and persistence of price momentum. In summary, our findings are consistent with the U.S. evidence.
Impact and interest:
Citation counts are sourced monthly from and citation databases.
These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.
Citations counts from theindexing service can be viewed at the linked Google Scholar™ search.
Full-text downloads displays the total number of times this work’s files (e.g., a PDF) have been downloaded from QUT ePrints as well as the number of downloads in the previous 365 days. The count includes downloads for all files if a work has more than one.
|Item Type:||Working Paper|
|Additional Information:||All correspondence to:
Associate Professor Andrew Worthington
Editor, Discussion Papers in Economic, Finance and International Competitiveness
School of Economics and Finance, Queensland University of Technology
GPO Box 2434, BRISBANE QLD 4001, Australia
|Keywords:||Momentum strategies, Australia|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
|Copyright Owner:||Copyright 2004 (Please consult author)|
|Deposited On:||23 Jul 2004 00:00|
|Last Modified:||10 Aug 2011 18:03|
Repository Staff Only: item control page