Momentum in Australian Stock Returns: An Update

Stan Hurn and Vlad Pavlov

No 23, NCER Working Paper Series from National Centre for Econometric Research

Abstract: It has been documented that a momentum investment strategy based on buying past well performing stocks while selling past losing stocks, is a profitable one in the Australian context particularly in the 1990s. The aim of this short paper is to investigate whether or not this feature of Australian stock returns is still evident. The paper confirms the presence of a medium-term momentum effect, but also provides some interesting new evidence on the importance of the size effect on momentum.

Keywords: Stock returns; Momentum portfolios; Size effect (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Pages: 17
Date: 2008-02-26, Revised 2008-02-26
New Economics Papers: this item is included in nep-cfn, nep-fmk and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:qut:auncer:2008-12

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