What should investors know about the stability of momentum investing and its riskiness? The case of the Australian Security Exchange - Archive ouverte HAL Access content directly
Journal Articles Pacific-Basin Finance Journal Year : 2010

What should investors know about the stability of momentum investing and its riskiness? The case of the Australian Security Exchange

(1)
1
Emilios C. C Galariotis
  • Function : Author
  • PersonId : 928645

Abstract

This paper investigates Australian momentum strategies and their performance stability separately employing two samples a) the S&P/ASX 200 constituents and b) all market securities; for different time periods and market states. To avoid transaction intensive strategies, non-overlapping portfolios are employed. Results show that momentum performance is not sample specific and is positive in all cases, yet at varying magnitudes for different states and years. The profits are robust to univariate and multivariate risk considerations, seasonality (which is however present), and to different starting months.
Fichier principal
Vignette du fichier
Galariotis_Pacific-Basin_Finance_Journal_2010_PP.pdf (307.14 Ko) Télécharger le fichier
Origin : Files produced by the author(s)
Loading...

Dates and versions

hal-00917587 , version 1 (12-12-2013)

Identifiers

Cite

Emilios C. C Galariotis. What should investors know about the stability of momentum investing and its riskiness? The case of the Australian Security Exchange. Pacific-Basin Finance Journal, 2010, 18 (4), pp.369-389. ⟨10.1016/j.pacfin.2010.04.001⟩. ⟨hal-00917587⟩

Collections

AUDENCIA UNAM
118 View
779 Download

Altmetric

Share

Gmail Facebook Twitter LinkedIn More