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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Momentum returns to S&P/ASX 100 constituents. / Vanstone, Bruce; Hahn, Tobias; Finnie, Gavin.
In: JASSA, Vol. 3, No. 3, 2012, p. 13-15.Research output: Contribution to journal › Article › Research › peer-review
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
VL - 3
SP - 13
EP - 15
JO - JASSA
JF - JASSA
SN - 0313-5934
IS - 3
ER -