Momentum returns to S&P/ASX 100 constituents

Bruce Vanstone*, Tobias Hahn, Gavin Finnie

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-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 languageEnglish
Pages (from-to)13-15
Number of pages3
JournalJASSA
Volume3
Issue number3
Publication statusPublished - 2012

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  • Student Theses

    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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