Momentum in Australian stock returns
Medium-term momentum, or the tendency of investment strategies based on buying past winning stocks while selling past losing stocks to maintain above normal performance over a period, has been a well-documented feature of stock returns in the US. We investigate the performance of momentum investment strategies in portfolios of Australian stocks and examine some of the common explanations and empirical features of momentum. The paper establishes the presence of a strong medium-term momentum effect, which cannot be completely accounted for by any of the possible explanations considered in this paper.
Impact and interest:
Citation countsare sourced monthly fromand citation databases.
Citations counts from theindexing service can be viewed at the linked Google Scholar™ search.
|Item Type:||Journal Article|
|Keywords:||STOCK RETURNS, MOMENTUM PORTFOLIOS, RISK ADJUSTMENT|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000)|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
|Copyright Owner:||Copyright 2003 Sage Publications Ltd.|
|Deposited On:||21 Jun 2007|
|Last Modified:||23 Sep 2013 16:35|
Repository Staff Only: item control page