Momentum returns in Australian equities: The influences of size, risk, liquidity and return computation

Demir, I; Muthuswamy, J; Walter, TS

Momentum returns in Australian equities: The influences of size, risk, liquidity and return computation

Demir, I Muthuswamy, J Walter, TS

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Publisher:: Elsevier
Publication Type:: Journal Article
Citation:: Pacific-Basin Finance Journal, 2004, 12 (2), pp. 143 - 158
Issue Date:: 2004-01

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Field	Value	Language
dc.contributor.author	Demir, I	en_US
dc.contributor.author	Muthuswamy, J	en_US
dc.contributor.author	Walter, TS	en_US
dc.date.issued	2004-01	en_US
dc.identifier.citation	Pacific-Basin Finance Journal, 2004, 12 (2), pp. 143 - 158	en_US
dc.identifier.issn	0927-538X	en_US
dc.identifier.uri	http://hdl.handle.net/10453/10034
dc.description.abstract	The apparent predictability of stock prices, and the related profitability of investment strategies based on this, has generated a great deal of research. Since the late 1980s, momentum strategies have attracted considerable attention and have been found to be profitable in numerous markets. This paper investigates the returns to short-term and intermediate-horizon momentum strategies in the Australian equity market. We focus on `practical or `realistic investment strategies, and find that momentum is prevalent in the Australian market and that the returns are of greater magnitude than previously found in overseas markets. These momentum strategy returns are robust to risk adjustment and prevail over time. We also examine the interaction of momentum on size and liquidity variables and conclude that the observed profits to these investment strategies are not explained by size or liquidity differences among the stocks.	en_US
dc.publisher	Elsevier	en_US
dc.relation.ispartof	Pacific-Basin Finance Journal	en_US
dc.subject.classification	Finance	en_US
dc.title	Momentum returns in Australian equities: The influences of size, risk, liquidity and return computation	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	12	en_US
utslib.for	150201 Finance	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	false	en_US
pubs.issue	2	en_US
pubs.volume	12	en_US

Abstract:

The apparent predictability of stock prices, and the related profitability of investment strategies based on this, has generated a great deal of research. Since the late 1980s, momentum strategies have attracted considerable attention and have been found to be profitable in numerous markets. This paper investigates the returns to short-term and intermediate-horizon momentum strategies in the Australian equity market. We focus on `practical or `realistic investment strategies, and find that momentum is prevalent in the Australian market and that the returns are of greater magnitude than previously found in overseas markets. These momentum strategy returns are robust to risk adjustment and prevail over time. We also examine the interaction of momentum on size and liquidity variables and conclude that the observed profits to these investment strategies are not explained by size or liquidity differences among the stocks.

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http://hdl.handle.net/10453/10034