Momentum Profits in the Australian Equity Market: A matched firm approach
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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]
Collections | ANU Research Publications |
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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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File | Description | Size | Format | Image |
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01_Bettman_Momentum_Profits_in_the_2009.pdf | 229.32 kB | Adobe PDF | Request a copy |
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