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

Research output: Contribution to journal › Article › peer-review

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)	15-18
Number of pages	3
Journal	The Australasian Journal of Applied Finance
Volume	3
Issue number	3
Publication status	Published - 2012
Externally published	Yes

Cite this

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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.",

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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.

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EP - 18

JO - The Australasian Journal of Applied Finance

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Momentum returns to S&P/ASX 100 constituents

Abstract

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