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

Bond University

Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid

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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.

Iaith wreiddiol	Saesneg
Tudalennau (o-i)	15-18
Nifer y tudalennau	3
Cyfnodolyn	The Australasian Journal of Applied Finance
Cyfrol	3
Rhif cyhoeddi	3
Statws	Cyhoeddwyd - 2012
Cyhoeddwyd yn allanol	Ie

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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",

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journal = "The Australasian Journal of Applied Finance",

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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.

M3 - Article

SN - 0313-5934

VL - 3

SP - 15

EP - 18

JO - The Australasian Journal of Applied Finance

JF - The Australasian Journal of Applied Finance

IS - 3

ER -

Momentum returns to S&P/ASX 100 constituents

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