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.
|Number of pages||3|
|Publication status||Published - 2012|
Supervisor: Vanstone, B. J. (Supervisor) & Finnie, G. (Supervisor)
Student thesis: Doctoral Thesis