Momentum in Australian Stock Returns: An Update



The momentum results for the period 1998 - 2004 are presented in Figure 2.
The pattern of returns is much the same with one striking exception. There
appears to be no momentum return when the analysis is limited to the top 50
stocks. This pattern is also evident in the earlier sample, but it is much
stronger in the early 2000s. It appears therefore that the results are broadly
comparable to those obtained by HP with the smaller sample. A universal
feature of the data is that across all the sub-samples considered is that
momentum appears strongest (especially in the first 6 months post portfolio
formation) in the stocks ranked between 200 and 500. This is a new result,
one which was precluded by the HP decision to limit the scope of their
empirical analysis.

Holding Period (Months)

Figure 1 Mean monthly holding period returns for up to 3 years following portfolio formation
(1973-1998).



More intriguing information

1. Work Rich, Time Poor? Time-Use of Women and Men in Ireland
2. How does an infant acquire the ability of joint attention?: A Constructive Approach
3. The Context of Sense and Sensibility
4. Agricultural Policy as a Social Engineering Tool
5. Towards Teaching a Robot to Count Objects
6. Optimal Rent Extraction in Pre-Industrial England and France – Default Risk and Monitoring Costs
7. Crime as a Social Cost of Poverty and Inequality: A Review Focusing on Developing Countries
8. The name is absent
9. The name is absent
10. Spatial agglomeration and business groups: new evidence from Italian industrial districts