Momentum in Australian Stock Returns
Pavlov, Vlad & Hurn, Stan (2003) Momentum in Australian Stock Returns. Australian Journal of Management, 28(2), pp. 141-156.
Description
Medium-term momentum, or the tendency of investment strategies based on buying past winning stocks while selling past losing stocks to maintain above normal performance over a period, has been a well-documented feature of stock returns in the US. We investigate the performance of momentum investment strategies in portfolios of Australian stocks and examine some of the common explanations and empirical features of momentum. The paper establishes the presence of a strong medium-term momentum effect, which cannot be completely accounted for by any of the possible explanations considered in this paper.
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| ID Code: | 8206 | ||
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| Item Type: | Contribution to Journal (Journal Article) | ||
| Refereed: | Yes | ||
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| Measurements or Duration: | 16 pages | ||
| DOI: | 10.1177/031289620302800202 | ||
| ISSN: | 0312-8962 | ||
| Pure ID: | 34118647 | ||
| Divisions: | Past > QUT Faculties & Divisions > QUT Business School Current > Schools > School of Economics & Finance |
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| Copyright Owner: | Copyright 2003 Sage Publications Ltd. | ||
| Copyright Statement: | This work is covered by copyright. Unless the document is being made available under a Creative Commons Licence, you must assume that re-use is limited to personal use and that permission from the copyright owner must be obtained for all other uses. If the document is available under a Creative Commons License (or other specified license) then refer to the Licence for details of permitted re-use. It is a condition of access that users recognise and abide by the legal requirements associated with these rights. If you believe that this work infringes copyright please provide details by email to [email protected] | ||
| Deposited On: | 21 Jun 2007 00:00 | ||
| Last Modified: | 17 Jun 2025 07:53 |
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