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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http://www.finsia.com/docs/default-source/jassa-new/jassa-2012/jassa-2012-issue-3/momentum-returns-to-s-p-asx-100-constituents

Cite this

@article{e961ab38134d43ed889b1aadffe2fd05,

title = "Momentum returns to S&P/ASX 100 constituents",

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.",

author = "Bruce Vanstone and Tobias Hahn and Gavin Finnie",

year = "2012",

language = "English",

volume = "3",

pages = "13--15",

journal = "The Australasian Journal of Applied Finance",

issn = "0313-5934",

publisher = "Financial Services Institute of Australasia",

number = "3",

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TY - JOUR

T1 - Momentum returns to S&P/ASX 100 constituents

AU - Vanstone, Bruce

AU - Hahn, Tobias

AU - Finnie, Gavin

PY - 2012

Y1 - 2012

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=84872468093&partnerID=8YFLogxK

M3 - Article

AN - SCOPUS:84872468093

VL - 3

SP - 13

EP - 15

JO - The Australasian Journal of Applied Finance

JF - The Australasian Journal of Applied Finance

SN - 0313-5934

IS - 3

ER -

Momentum returns to S&P/ASX 100 constituents

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Option Pricing Using Artificial Neural Networks : an Australian Perspective

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Momentum returns to S&P/ASX 100 constituents

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Option Pricing Using Artificial Neural Networks : an Australian Perspective

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