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Momentum in Australian stock returns

Hurn, Stanley & Pavlov, Vladimir (2003) Momentum in Australian stock returns. The Australian Journal of Management, 28(2), pp. 141-156.

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Abstract

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.

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ID Code: 8206
Item Type: Journal Article
Additional Information:
Additional URLs:
Keywords: STOCK RETURNS, MOMENTUM PORTFOLIOS, RISK ADJUSTMENT
DOI: 10.1177/031289620302800202
ISSN: 0312-8962
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

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