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The impact of liquidity and transaction costs on the 52-week high momentum strategy in Australia

Bettman, Jenni; Sault, Stephen; von Reibnitz, Anna

Description

In this paper we investigate the profitability of the 52-week high momentum strategy in the Australian equity market over the period 1996-2008. We provide the first examination of the economic significance of the strategy by applying short-sale restrictions and utilizing bid-and-ask prices and trading volume to proxy for transaction costs and liquidity constraints, respectively. Testing reveals that the strategy yields significantly positive raw returns when concentrated purely on the more...[Show more]

CollectionsANU Research Publications
Date published: 2010
Type: Journal article
URI: http://hdl.handle.net/1885/36617
Source: Australian Journal of Management
DOI: 10.1177/0312896210385282

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