5. CONCLUSION
The paper confirms the existence of short- to medium-term momentum in
Australian stocks. The size of the momentum profits and the dynamics of the
momentum profits are very similar to those reported in HP. Evidence is also
presented that momentum is linked to size. It is clear that momentum has
been strongest in the medium sized to smaller stocks (stocks whose capital
rank is below 200). Furthermore, the strength of the momentum effect
appears to vary over time with a preliminary conjecture being that
momentum profits are not simply driven by strong economic growth.
Clearly there remains much to be done in this area. The emerging evidence of
the size and time variability of returns to a momentum strategy need to be
investigated in more detail. More important, however, there is a pressing need
for a model of momentum to be developed which allows the rigorous testing of
the statistical significance of the entire pattern of momentum profits in
Australia.
14
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