Momentum returns to S&P/ASX 100 constituents

Bruce Vanstone; Tobias Hahn; Gavin Finnie

Momentum returns to S&P/ASX 100 constituents

Bruce Vanstone^*, Tobias Hahn, Gavin Finnie

^*Corresponding author for this work

Bond Business School

Research output: Contribution to journal › Article › Research › peer-review

2 Citations (Scopus)

Abstract

With mixed evidence to date on the performance of momentum strategies in Australia, this paper examines returns to momentum strategies for constituent companies within the S&P/ASX 100, focusing on practical, realisable investment strategies. We find that momentum is both present and obtainable, and has been a persistent feature of the S&P/ASX 100 since its inception, including throughout the global financial crisis.

Original language	English
Pages (from-to)	13-15
Number of pages	3
Journal	JASSA
Volume	3
Issue number	3
Publication status	Published - 2012

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Option Pricing Using Artificial Neural Networks : an Australian Perspective
Author: Hahn, T., 8 Feb 2014
Supervisor: Vanstone, B. J. (Supervisor) & Finnie, G. (Supervisor)
Student thesis: Doctoral Thesis

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abstract = "With mixed evidence to date on the performance of momentum strategies in Australia, this paper examines returns to momentum strategies for constituent companies within the S&P/ASX 100, focusing on practical, realisable investment strategies. We find that momentum is both present and obtainable, and has been a persistent feature of the S&P/ASX 100 since its inception, including throughout the global financial crisis.",

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Momentum returns to S&P/ASX 100 constituents

Abstract

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Option Pricing Using Artificial Neural Networks : an Australian Perspective

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