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Momentum Profits in the Australian Equity Market: A matched firm approach

Bettman, Jenni; Maher, Thomas; Sault, Stephen

Description

This paper examines momentum trading strategies within the Australian equity market over the period 1990 to 2007, inclusive. We analyse excess returns employing both Jegadeesh and Titman's (Jegadeesh, N., Titman, S., 1993. "Returns to buying winners and selling losers: implications for stock market efficiency". The Journal of Finance, 48:65-91) zero cost investment portfolio approach and a matched control firm approach. We also allow for short sale restrictions, liquidity constraints and...[Show more]

CollectionsANU Research Publications
Date published: 2009
Type: Journal article
URI: http://hdl.handle.net/1885/33196
Source: Pacific-Basin Finance Journal
DOI: 10.1016/j.pacfin.2009.01.001

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