Momentum in Australia—A Note

Robert B. Durand, Manapon Limkriangkrai and Gary Smith
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Robert B. Durand: University of Western Australia, School of Economics and Commerce, M250, 35 Stirling Highway, Crawley, Western Australia, 6009.
Manapon Limkriangkrai: University of Western Australia, School of Economics and Commerce, M250, 35 Stirling Highway, Crawley, Western Australia, 6009.
Gary Smith: University of Western Australia, School of Economics and Commerce, M250, 35 Stirling Highway, Crawley, Western Australia, 6009.

Australian Journal of Management, 2006, vol. 31, issue 2, 355-364

Abstract: Our note examines the momentum effect in Australia using the J-month/K-month methodology of Jegadeesh and Titman (1993, 2001). Our sample consists of stocks listed on the Australian stock exchange from January 1980 to December 2001. We do not find evidence for a momentum effect in Australia during this period. Rather, we find evidence of significantly positive returns for ‘loser’ portfolios in July-the first month of the Australian financial year.

Keywords: MOMENTUM; AUSTRALIA (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:31:y:2006:i:2:p:355-364

DOI: 10.1177/031289620603100209

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