Momentum in Australian Stock Returns: An Update



Momentum in Australian Stock Returns: An Update

A. S. Hurn and V. Pavlov1

School of Economics and Finance, Queensland University of Technology

Abstract

It has been documented that a momentum investment strategy based on
buying past well performing stocks while selling past losing stocks, is a
profitable one in the Australian context particularly in the 1990s. The aim of
this short paper is to investigate whether or not this feature of Australian
stock returns is still evident. The paper confirms the presence of a medium-
term momentum effect, but also provides some interesting new evidence on
the importance of the size effect on momentum.

Keywords:

Stock returns, Momentum portfolios, Size effect.

JEL Classification Numbers:

G11, G12

Corresponding author:

Vlad Pavlov [email protected]

1 This research was supported by ARC Linkage Grant (LP0561082) in collaboration with the
Queensland Investment Corporation. Financial assistance from these sources is gratefully
acknowledged. All the data and the Matlab programmes used to generate the results reported
in this paper are available for download from the National Centre for Econometric Research
website (
http://www.ncer.edu.au/data/).



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