The impact of liquidity and transaction costs on the 52-week high momentum strategy in Australia
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]
|Collections||ANU Research Publications|
|Source:||Australian Journal of Management|
|01_Bettman_The_impact_of_liquidity_and_2010.pdf||1.31 MB||Adobe PDF||Request a copy|
|02_Bettman_The_impact_of_liquidity_and_2010.pdf||329.5 kB||Adobe PDF||Request a copy|
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