Momentum: Further Evidence from Australia

Xiuqing Ji

Finance Research Letters, 2016, vol. 18, issue C, 234-236

Abstract: Much research has been on momentum strategies. This paper makes further contribution by examining momentum in Australia in a 100-year period that had not being examined before: 1883–1984. The findings are that momentum is profitable in Australia from 1883 to 1984. In direct contrast with negative momentum returns in the United States, momentum strategy in Australia is significantly positive in January.

Keywords: Momentum; Profitability; January (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:18:y:2016:i:c:p:234-236

DOI: 10.1016/j.frl.2016.04.021

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