A. Ang, J. Chen, and Y. Xing, Downside Risk, Review of Financial Studies, vol.19, issue.4, pp.1191-1239, 2006.
DOI : 10.1093/rfs/hhj035

A. Antoniou, E. C. Galariotis, and S. I. Spyrou, Short-term Contrarian Strategies in the London Stock Exchange: Are They Profitable? Which Factors Affect Them?, Journal of Business Finance <html_ent glyph="@amp;" ascii="&"/> Accounting, vol.25, issue.2, pp.839-867, 2006.
DOI : 10.1016/0304-405X(88)90021-9
URL : https://hal.archives-ouvertes.fr/hal-01096022

A. Antoniou, H. Y. Lam, and K. Paudyal, Profitability of momentum strategies in international markets: The role of business cycle variables and behavioural biases, Journal of Banking & Finance, vol.31, issue.3, pp.955-972, 2007.
DOI : 10.1016/j.jbankfin.2006.08.001

D. Avramov and T. Chordia, Asset Pricing Models and Financial Market Anomalies, Review of Financial Studies, vol.19, issue.3, pp.1001-1040, 2006.
DOI : 10.1093/rfs/hhj025

E. Balaban, January effect, yes. What about Mark Twain effect, 1995.

N. Barberis, A. Shleifer, and R. Vishny, A Model of Investor Sentiment, Journal of Financial economics, vol.49, pp.307-343, 1998.
DOI : 10.3386/w5926

J. Berk, R. Green, and V. Naik, Optimal Investment, Growth Options, and Security Returns, Optimal Investment, Growth Options, and Security Returns, pp.1553-1607, 1999.
DOI : 10.1111/0022-1082.00161
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.201.9650

J. L. Bettman, T. R. Maher, and S. Sault, Momentum profits in the Australian equity market: A matched firm approach, Pacific-Basin Finance Journal, vol.17, issue.5, pp.565-579, 2009.
DOI : 10.1016/j.pacfin.2009.01.001

R. Bird and J. Whitaker, The performance of value and momentum investment portfolios: Recent experience in the major European markets, Journal of Asset Management, vol.4, issue.4, pp.221-246, 2003.
DOI : 10.1057/palgrave.jam.2240105

T. R. Burch and B. Swaminathan, Are Institutions Momentum Traders?, SSRN Electronic Journal, 2001.
DOI : 10.2139/ssrn.291643

M. M. Carhart, On Persistence in Mutual Fund Performance, The Journal of Finance, vol.19, issue.1, pp.57-82, 1997.
DOI : 10.1111/j.1540-6261.1997.tb03808.x

K. Chan, A. Hameed, and W. Tong, Profitability of Momentum Strategies in the International Equity Markets, The Journal of Financial and Quantitative Analysis, vol.35, issue.2, pp.153-172, 2000.
DOI : 10.2307/2676188

T. Chordia and L. Shivakumar, Momentum, Business Cycle and Time Varying Expected Returns, SSRN Electronic Journal, vol.57, pp.985-1019, 2002.
DOI : 10.2139/ssrn.243807

T. Chordia and L. Shivakumar, Earnings and price momentum, Journal of Financial Economics, vol.80, issue.3, pp.627-656, 2006.
DOI : 10.1016/j.jfineco.2005.05.005

J. Conrad and G. Kaul, An Anatomy of Trading Strategies, Review of Financial Studies, vol.11, issue.3, pp.489-519, 1998.
DOI : 10.1093/rfs/11.3.489

K. Daniel and S. Titman, Testing Factor-Model Explanations of Market Anomalies. Working paper, 2006.

D. Bondt, W. F. Thaler, and R. H. , Further Evidence On Investor Overreaction and Stock Market Seasonality, The Journal of Finance, vol.2, issue.3, pp.557-581, 1987.
DOI : 10.1111/j.1540-6261.1987.tb04569.x

I. Demir, J. Muthuswamy, and T. Walter, Momentum returns in Australian equities: The influences of size, risk, liquidity and return computation, Pacific-Basin Finance Journal, vol.12, issue.2, pp.143-158, 2004.
DOI : 10.1016/j.pacfin.2003.07.002

J. A. Doukas and P. J. Mcknight, European Momentum Strategies, Information Diffusion, and Investor Conservatism, European Financial Management, vol.51, issue.3, pp.313-338, 2005.
DOI : 10.1111/j.1354-7798.2005.00286.x

R. B. Durand, S. K. Koh, and I. Watson, Who Moved Asian-Pacific Stock Markets? A Further Consideration Of The Impact of the US and Japan, Australian Journal of Management, vol.50, issue.1, pp.125-145, 2001.
DOI : 10.1177/031289620102600203

R. B. Durand, M. Limkriangkrai, and G. Smith, Momentum in Australia???A Note, Australian Journal of Management, vol.54, issue.4, pp.355-364, 2006.
DOI : 10.1177/031289620603100209

R. B. Durand, M. Limkriangkrai, and G. Smith, In America's thrall: the effects of the US market and US security characteristics on Australian stock returns, Accounting and Finance, vol.16, issue.4, pp.577-604, 2006.
DOI : 10.1111/j.1745-6622.1995.tb00634.x

R. Faff, A simple test of the Fama and French model using daily data: Australian evidence, Applied Financial Economics, vol.73, issue.2, pp.83-92, 2004.
DOI : 10.1111/0022-1082.00192

E. F. Fama and K. R. French, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics, vol.33, issue.1, pp.3-56, 1993.
DOI : 10.1016/0304-405X(93)90023-5

E. F. Fama and K. R. French, Multifactor Explanations of Asset Pricing Anomalies, The Journal of Finance, vol.19, issue.1, pp.55-84, 1996.
DOI : 10.1111/j.1540-6261.1996.tb05202.x

E. C. Galariotis, P. Holmes, and S. X. Ma, Contrarian and momentum profitability revisited for the London Stock Exchange over, Journal of Multinational Financial Management, vol.17, pp.349-448, 1964.

C. Gaunt, Size and book to market effects and the Fama French three factor asset pricing model: evidence from the Australian stockmarket, Accounting and Finance, vol.31, issue.1, pp.27-44, 2004.
DOI : 10.1016/0304-405X(81)90019-2

C. Gaunt and P. Gray, Short-Term Autocorrelation in Australian Equities, Australian Journal of Management, vol.5, issue.1, pp.97-117, 2003.
DOI : 10.1177/031289620302800105

J. M. Griffin, X. Ji, and J. S. Martin, Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole, The Journal of Finance, vol.26, issue.6, pp.2515-2547, 2003.
DOI : 10.1046/j.1540-6261.2003.00614.x

B. D. Grundy and J. S. Martin, Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing, Review of Financial Studies, vol.14, issue.1, pp.29-78, 2001.
DOI : 10.1093/rfs/14.1.29

J. Halliwell, R. Heaney, and J. Sawicki, Size and book-to-market effects in Australian share markets: A time series analysis, Accounting Research Journal, vol.12, pp.122-137, 1999.

H. Hong and J. C. Stein, A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets, The Journal of Finance, vol.51, issue.6, pp.2143-2184, 1999.
DOI : 10.1111/0022-1082.00184

H. Hong, T. Lim, and J. C. Stein, Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies, The Journal of Finance, vol.51, issue.1, pp.265-295, 2000.
DOI : 10.1111/0022-1082.00206

S. Hurn and V. Pavlov, Momentum in Australian Stock Returns, Australian Journal of Management, vol.15, issue.2, pp.141-155, 2003.
DOI : 10.1177/031289620302800202

N. Jegadeesh and S. Titman, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, The Journal of Finance, vol.25, issue.1, pp.65-91, 1993.
DOI : 10.1111/j.1540-6261.1993.tb04702.x

N. Jegadeesh and S. Titman, Profitability of Momentum Strategies: An Evaluation of Alternative Explanations, The Journal of Finance, vol.185, issue.2, pp.699-720, 2001.
DOI : 10.1111/0022-1082.00342

N. Jegadeesh and S. Titman, Cross-Sectional and Time-Series Determinants of Momentum Returns, Review of Financial Studies, vol.15, issue.1, pp.143-157, 2002.
DOI : 10.1093/rfs/15.1.143

L. X. Liu, J. B. Warner, and L. Zhang, Momentum Profits, Factor Pricing, and Macroeconomic Risk, 2006.
DOI : 10.1093/rfs/hhn090
URL : http://rfs.oxfordjournals.org/cgi/content/short/21/6/2417

S. Rachev, T. Ja?i?, S. Stoyanov, and F. J. Fabozzi, Momentum strategies based on reward???risk stock selection criteria, Journal of Banking & Finance, vol.31, issue.8, pp.2325-2346, 2007.
DOI : 10.1016/j.jbankfin.2007.02.006

K. G. Rouwenhorst, Local Return Factors and Turnover in Emerging Stock Markets, The Journal of Finance, vol.53, issue.4, pp.1439-1464, 1999.
DOI : 10.1111/0022-1082.00151

L. Swinkels, Momentum investing: A survey, Journal of Asset Management, vol.5, issue.2, pp.120-143, 2004.
DOI : 10.1057/palgrave.jam.2240133

J. Van-der-hart, G. De-zwart, and D. Van-dijk, The success of stock selection strategies in emerging markets: Is it risk or behavioral bias?, Emerging Markets Review, vol.6, issue.3, pp.238-262, 2005.
DOI : 10.1016/j.ememar.2005.05.002

M. Seasonality and . Performance, All Australian Firms) Panel A: Strategy 6X6 Specific k month performance Performance of all other k months Month Winners Losers WML % of WML > 0, 2000.

K. Panel and D. , WML Price momentum based on past 12-Month Returns ? t(?) ? M t(? M ) ? SMB t(? SMB ) ? HML t(? HML ) Adj