Delisted stocks and momentum: Evidence from a new Australian dataset

Huynh, Thanh D. & Smith, Daniel R. (2015) Delisted stocks and momentum: Evidence from a new Australian dataset. Australian Journal of Management. (In Press)

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Abstract

We explore the impact of delisting on the performance of the momentum trading strategy in Australia. We employ a new dataset of hand-collected delisting returns for all Australian stocks and provide the first study outside the U.S. to jointly examine the effects of delisting and missing returns on the magnitude of momentum profits. In the sample of all stocks, we find that the profitability of momentum strategies depends crucially on the returns of delisted stocks, especiallyon bankrupt firms. In the sample of large stocks, however, the momentum effect remains strong after controlling for the effect of delisted stocks, in contrast to the U.S. evidence in which delisting returns can explain 40% of momentum profits. As these large stocks are less exposed to liquidity risks, the momentum effect in Australia is even more puzzling than in the U.S.

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ID Code: 84652
Item Type: Journal Article
Refereed: Yes
Keywords: Momentum, delisting
DOI: 10.1177/0312896214565118
ISSN: 0312-8962
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Copyright Owner: Copyright 2015 The Author(s)
Deposited On: 04 Jun 2015 01:09
Last Modified: 05 Jun 2015 01:46

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