TY - JOUR

T1 - Australian momentum: Performance, capacity and the GFC effect

AU - Vanstone, Bruce J.

AU - Hahn, Tobias

PY - 2017/3/1

Y1 - 2017/3/1

N2 - This paper assesses the performance of momentum strategies in Australia, and how they were affected by the GFC. This paper is the first to address the issue of the dollar capacity of momentum strategies in the Australian market. We find evidence of a strong momentum effect in Australia amongst the S&P/ASX200 constituents. We find that momentum portfolios suffered during the GFC, but the effect was not persistent. Finally, we show that the capacity of the momentum effect in Australia is large enough in dollar terms to reject the assertion that momentum is more of a theoretical than a practical construct.

AB - This paper assesses the performance of momentum strategies in Australia, and how they were affected by the GFC. This paper is the first to address the issue of the dollar capacity of momentum strategies in the Australian market. We find evidence of a strong momentum effect in Australia amongst the S&P/ASX200 constituents. We find that momentum portfolios suffered during the GFC, but the effect was not persistent. Finally, we show that the capacity of the momentum effect in Australia is large enough in dollar terms to reject the assertion that momentum is more of a theoretical than a practical construct.

U2 - 10.1111/acfi.12140

DO - 10.1111/acfi.12140

M3 - Article

VL - 57

SP - 261

EP - 287

JO - Accounting and Finance

JF - Accounting and Finance

SN - 0810-5391

IS - 1

ER -