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Momentum returns to S&P/ASX 100 constituents

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Standard Standard

Momentum returns to S&P/ASX 100 constituents. / Vanstone, Bruce; Hahn, Tobias; Finnie, Gavin.
In: The Australasian Journal of Applied Finance, Vol. 3, No. 3, 2012, p. 15-18.

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

HarvardHarvard

Vanstone, B, Hahn, T & Finnie, G 2012, 'Momentum returns to S&P/ASX 100 constituents', The Australasian Journal of Applied Finance, vol. 3, no. 3, pp. 15-18.

APA

Vanstone, B., Hahn, T., & Finnie, G. (2012). Momentum returns to S&P/ASX 100 constituents. The Australasian Journal of Applied Finance, 3(3), 15-18.

CBE

Vanstone B, Hahn T, Finnie G. 2012. Momentum returns to S&P/ASX 100 constituents. The Australasian Journal of Applied Finance. 3(3):15-18.

MLA

Vanstone, Bruce, Tobias Hahn and Gavin Finnie. "Momentum returns to S&P/ASX 100 constituents". The Australasian Journal of Applied Finance. 2012, 3(3). 15-18.

VancouverVancouver

Vanstone B, Hahn T, Finnie G. Momentum returns to S&P/ASX 100 constituents. The Australasian Journal of Applied Finance. 2012;3(3):15-18.

Author

Vanstone, Bruce ; Hahn, Tobias ; Finnie, Gavin. / Momentum returns to S&P/ASX 100 constituents. In: The Australasian Journal of Applied Finance. 2012 ; Vol. 3, No. 3. pp. 15-18.

RIS

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.

M3 - Article

VL - 3

SP - 15

EP - 18

JO - The Australasian Journal of Applied Finance

JF - The Australasian Journal of Applied Finance

SN - 0313-5934

IS - 3

ER -