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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Student Theses
Option Pricing Using Artificial Neural Networks : an Australian Perspective
Author: Hahn, T., 8 Feb 2014Supervisor: Vanstone, B. J. (Supervisor) & Finnie, G. (Supervisor)
Student thesis: Doctoral Thesis
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Cite this
Vanstone, B., Hahn, T., & Finnie, G. (2012). Momentum returns to S&P/ASX 100 constituents. JASSA, 3(3), 13-15. http://www.finsia.com/docs/default-source/jassa-new/jassa-2012/jassa-2012-issue-3/momentum-returns-to-s-p-asx-100-constituents