What should we know about momentum investing? The case of the Australian Security Exchange

被引：22

作者：

Galariotis, Emilios C. ^{[1
]}

机构：

[1] Audencia Nantes Sch Management, F-44312 Nantes 3, France

来源：

PACIFIC-BASIN FINANCE JOURNAL | 2010年 / 18卷 / 04期

关键词：

Momentum; Fama French model; Australian Security Exchange; BUSINESS-CYCLE; STRATEGIES; MARKET; PROFITABILITY; OVERREACTION; RETURNS; RISK;

D O I：

10.1016/j.pacfin.2010.04.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates Australian momentum strategies and their performance stability separately employing two samples a) the S&P/ASX 200 constituents and b) all market securities; for different time periods and market states. To avoid transaction intensive strategies, non-overlapping portfolios are employed. Results show that momentum performance is not sample specific and is positive in all cases, yet at varying magnitudes for different states and years. The profits are robust to univariate and multivariate risk considerations, seasonality (which is however present), and to different starting months. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：369 / 389

页数：21

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