Momentum investing and the asset allocation decision

Benson, K; Gallagher, DR; Teodorowski, P

Momentum investing and the asset allocation decision

Benson, K Gallagher, DR Teodorowski, P

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Publisher:: Blackwell Publishing
Publication Type:: Journal Article
Citation:: Accounting and Finance, 2007, 47 (4), pp. 571 - 598
Issue Date:: 2007-01

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Field	Value	Language
dc.contributor.author	Benson, K	en_US
dc.contributor.author	Gallagher, DR	en_US
dc.contributor.author	Teodorowski, P	en_US
dc.date.issued	2007-01	en_US
dc.identifier.citation	Accounting and Finance, 2007, 47 (4), pp. 571 - 598	en_US
dc.identifier.issn	0810-5391	en_US
dc.identifier.uri	http://hdl.handle.net/10453/15811
dc.description.abstract	This study examines the active asset allocation decisions of Australian multisector fund managers to determine whether active fund managers engage in momentum strategies. We find evidence supporting the existence of momentum investing in active asset allocation strategies. This evidence exists in the Australian Equities, Australian Fixed Interest and Listed Property asset classes. Interestingly, balanced funds adopt contrarian strategies in the International Equities asset class. We also examine whether there is any association between a fund's market timing skill and the execution of momentum strategies. Our results show that fund managers with no market timing skill are momentum investors.	en_US
dc.publisher	Blackwell Publishing	en_US
dc.relation.ispartof	Accounting and Finance	en_US
dc.relation.isbasedon	10.1111/j.1467-629x.2007.00227.x	en_US
dc.subject.classification	Accounting	en_US
dc.title	Momentum investing and the asset allocation decision	en_US
dc.type	Journal Article
utslib.citation.volume	4	en_US
utslib.citation.volume	47	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1402 Applied Economics	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	4	en_US
pubs.volume	47	en_US

Abstract:

This study examines the active asset allocation decisions of Australian multisector fund managers to determine whether active fund managers engage in momentum strategies. We find evidence supporting the existence of momentum investing in active asset allocation strategies. This evidence exists in the Australian Equities, Australian Fixed Interest and Listed Property asset classes. Interestingly, balanced funds adopt contrarian strategies in the International Equities asset class. We also examine whether there is any association between a fund's market timing skill and the execution of momentum strategies. Our results show that fund managers with no market timing skill are momentum investors.

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http://hdl.handle.net/10453/15811