Concurrent momentum and contrarian strategies in the Australian stock market

Minh Phuong Doan (), Vitali Alexeev and Robert Brooks
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Minh Phuong Doan: School of Accounting, Finance and Economics

No 2014-02, Working Papers from University of Tasmania, Tasmanian School of Business and Economics

Abstract: We investigate the coexistence of momentum and contrarian strategies in the Australian equity market from 1992-2011. We show that contrarian strategies prevail in the short-term investment horizon while momentum strategies dominate the intermediate-and long-term horizons.

Keywords: technical analysis; momentum and contratian strategies; model based bootstrap (search for similar items in EconPapers)
Pages: 31 pages
Date: 2014-05-13, Revised 2014-05-13
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Citations: View citations in EconPapers (4)

Published by the University of Tasmania, Discussion paper 2014-2

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Related works:
Journal Article: Concurrent momentum and contrarian strategies in the Australian stock market (2016)
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