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Momentum in Australian Stock Returns: An Update

By A. S. Hurn and V.Pavlov

Abstract

It has been documented that a momentum investment strategy based on buying past well performing stocks while selling past losing stocks, is a profitable one in the Australian context particularly in the 1990s. The aim of this short paper is to investigate whether or not this feature of Australian stock returns is still evident. The paper confirms the presence of a medium-term momentum effect, but also provides some interesting new evidence on the importance of the size effect on momentum.Stock returns, Momentum portfolios, Size effect

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