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

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.
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Emilios 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, Elsevier, 2010, 18 (4), pp.369-389. ⟨10.1016/j.pacfin.2010.04.001⟩. ⟨hal-00917587⟩

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