Momentum in Australia

Research output: Contribution to journalArticlepeer-review

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Momentum in Australia. / Vanstone, Bruce J; Hahn, Tobias.
In: The Australasian Journal of Applied Finance, Vol. 2019, No. 3, 2019, p. 17-22.

Research output: Contribution to journalArticlepeer-review

HarvardHarvard

Vanstone, BJ & Hahn, T 2019, 'Momentum in Australia', The Australasian Journal of Applied Finance, vol. 2019, no. 3, pp. 17-22.

APA

Vanstone, B. J., & Hahn, T. (2019). Momentum in Australia. The Australasian Journal of Applied Finance, 2019(3), 17-22.

CBE

Vanstone BJ, Hahn T. 2019. Momentum in Australia. The Australasian Journal of Applied Finance. 2019(3):17-22.

MLA

Vanstone, Bruce J and Tobias Hahn. "Momentum in Australia". The Australasian Journal of Applied Finance. 2019, 2019(3). 17-22.

VancouverVancouver

Vanstone BJ, Hahn T. Momentum in Australia. The Australasian Journal of Applied Finance. 2019;2019(3):17-22.

Author

Vanstone, Bruce J ; Hahn, Tobias. / Momentum in Australia. In: The Australasian Journal of Applied Finance. 2019 ; Vol. 2019, No. 3. pp. 17-22.

RIS

TY - JOUR

T1 - Momentum in Australia

AU - Vanstone, Bruce J

AU - Hahn, Tobias

PY - 2019

Y1 - 2019

N2 - This study provides a description of momentum in Australia, seeking to provide a benchmark for academics and practitioners in the search to improve the performance of momentum strategies. Our findings reveal that there is a strong momentum effect within members of the S&P/ASX200 that was temporarily affected by the GFC. We also provide the first estimation of the current dollar value of momentum in Australia available to funds management. Stock price momentum is a well-documented anomaly in many of the world’s equity markets, and refers to the excess returns due to buying(selling) past winner(loser) stocks. This paper summarizes the results found in Vanstone & Hahn (2017), and presents them in a practical light. The strength of the momentum effect in Australia remains unclear and prior results are often somewhat contradictory, although in reality, part of this confusion may be the result of differences in cross-sectional stock selection (Brailsford and O’Brien 2008) and differing analysis approaches used in prior works. Our study examines the performance of momentum strategies in Australia using S&P/ASX200 stocks obtained from the Securities Industry Research Centre of Asia Pacific (SIRCA) for the time period 2000 – 2013. The S&P/ASX200 is a suitable basis for this research because it covers approximately 80% of the Australian equity market capitalization (S&P Dow Jones Indices 2014) and constituents are regularly reviewed to ensure suitable market capitalization and liquidity. The objective of this study is to provide a benchmark for practitioners and fund managers in the ongoing search to understand and improve the performance of momentum strategies

AB - This study provides a description of momentum in Australia, seeking to provide a benchmark for academics and practitioners in the search to improve the performance of momentum strategies. Our findings reveal that there is a strong momentum effect within members of the S&P/ASX200 that was temporarily affected by the GFC. We also provide the first estimation of the current dollar value of momentum in Australia available to funds management. Stock price momentum is a well-documented anomaly in many of the world’s equity markets, and refers to the excess returns due to buying(selling) past winner(loser) stocks. This paper summarizes the results found in Vanstone & Hahn (2017), and presents them in a practical light. The strength of the momentum effect in Australia remains unclear and prior results are often somewhat contradictory, although in reality, part of this confusion may be the result of differences in cross-sectional stock selection (Brailsford and O’Brien 2008) and differing analysis approaches used in prior works. Our study examines the performance of momentum strategies in Australia using S&P/ASX200 stocks obtained from the Securities Industry Research Centre of Asia Pacific (SIRCA) for the time period 2000 – 2013. The S&P/ASX200 is a suitable basis for this research because it covers approximately 80% of the Australian equity market capitalization (S&P Dow Jones Indices 2014) and constituents are regularly reviewed to ensure suitable market capitalization and liquidity. The objective of this study is to provide a benchmark for practitioners and fund managers in the ongoing search to understand and improve the performance of momentum strategies

M3 - Article

VL - 2019

SP - 17

EP - 22

JO - The Australasian Journal of Applied Finance

JF - The Australasian Journal of Applied Finance

SN - 0313-5934

IS - 3

ER -