Australian momentum: Performance, capacity and the GFC effect

Bruce J. Vanstone, Tobias Hahn

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Abstract

This paper assesses the performance of momentum strategies in Australia, and how they were affected by the GFC. This paper is the first to address the issue of the dollar capacity of momentum strategies in the Australian market. We find evidence of a strong momentum effect in Australia amongst the S&P/ASX200 constituents. We find that momentum portfolios suffered during the GFC, but the effect was not persistent. Finally, we show that the capacity of the momentum effect in Australia is large enough in dollar terms to reject the assertion that momentum is more of a theoretical than a practical construct.

Original languageEnglish
Pages (from-to)261-287
Number of pages27
JournalAccounting and Finance
Volume57
Issue number1
Early online date29 Apr 2015
DOIs
Publication statusPublished - Mar 2017

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