Momentum in Australia - A Note

Robert Durand; Manapon Limkriangkrai; Gary Smith

Momentum in Australia - A Note

Robert Durand, Manapon Limkriangkrai, Gary Smith

Research output: Contribution to journal › Article › peer-review

Abstract

Our note examines the momentum effect in Australia using the J-month/K-month methodology of Jegadeesh and Titman (1993, 2001). Our sample consists of stocks listed on the Australian stock exchange from January 1980 to December 2001. We do not find evidence for a momentum effect in Australia during this period. Rather, we find evidence of significantly positive returns for ‘loser’ portfolios in July-the first month of the Australian financial year.

Original language	English
Pages (from-to)	355-364
Journal	Australian Journal of Management
Volume	31
Issue number	2
Publication status	Published - 2006

Cite this

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title = "Momentum in Australia - A Note",

abstract = "Our note examines the momentum effect in Australia using the J-month/K-month methodology of Jegadeesh and Titman (1993, 2001). Our sample consists of stocks listed on the Australian stock exchange from January 1980 to December 2001. We do not find evidence for a momentum effect in Australia during this period. Rather, we find evidence of significantly positive returns for {\textquoteleft}loser{\textquoteright} portfolios in July-the first month of the Australian financial year.",

author = "Robert Durand and Manapon Limkriangkrai and Gary Smith",

year = "2006",

language = "English",

volume = "31",

pages = "355--364",

journal = "Australian Journal of Management",

issn = "0312-8962",

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AU - Limkriangkrai, Manapon

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AB - Our note examines the momentum effect in Australia using the J-month/K-month methodology of Jegadeesh and Titman (1993, 2001). Our sample consists of stocks listed on the Australian stock exchange from January 1980 to December 2001. We do not find evidence for a momentum effect in Australia during this period. Rather, we find evidence of significantly positive returns for ‘loser’ portfolios in July-the first month of the Australian financial year.

M3 - Article

SN - 0312-8962

VL - 31

SP - 355

EP - 364

JO - Australian Journal of Management

JF - Australian Journal of Management

IS - 2

ER -

Momentum in Australia - A Note

Abstract

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