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dc.contributor.authorDrew, ME
dc.contributor.authorVeeraraghavan, M
dc.contributor.authorYe, M
dc.date.accessioned2018-03-29T03:21:40Z
dc.date.available2018-03-29T03:21:40Z
dc.date.issued2007
dc.date.modified2010-08-02T07:20:30Z
dc.identifier.issn0307-4358
dc.identifier.doi10.1108/03074350710779223
dc.identifier.urihttp://hdl.handle.net/10072/33066
dc.description.abstractPurpose - The purpose of this paper is to investigate the profitability of momentum investment strategy and the predictive power of trading volume for equities listed in the Australian Stock Exchange. Design/methodology/approach - Following the Lee and Swaminathan's approach, portfolios on past returns and past trading volume is constructed. In this approach, all stocks are ranked independently on the basis of past returns and past trading volume. The stocks are then assigned to one of five portfolios based on past returns and one of three portfolios based on trading volume over the same period. Findings - A strong momentum effect for the Australian market during the period 1988 through 2002 is observed. Further, momentum plays an important role in providing information about stocks. Past trading volume appears to predict both the magnitude and persistence of price momentum. Research limitations/implications - Substantial momentum observed in monthly stock returns has investment implications. Abnormal returns vary from 0.3 to 7 per cent per month in the intermediate horizon. Originality/value - This study provides an out of sample evidence by examining the relationship between "trading volume" (measured by the turnover ratio) and "momentum" strategies in an Australian setting.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoeng
dc.publisherEmerald Group Publishing Limited
dc.publisher.placeBradford, England
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom772
dc.relation.ispartofpageto787
dc.relation.ispartofissue10
dc.relation.ispartofjournalManagerial Finance
dc.relation.ispartofvolume33
dc.rights.retentionY
dc.subject.fieldofresearchBanking, Finance and Investment not elsewhere classified
dc.subject.fieldofresearchBanking, Finance and Investment
dc.subject.fieldofresearchcode150299
dc.subject.fieldofresearchcode1502
dc.titleDo momentum strategies work? Australian evidence
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
dc.description.versionAccepted Manuscript (AM)
gro.rights.copyright© 2007 Emerald. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
gro.date.issued2007
gro.hasfulltextFull Text
gro.griffith.authorDrew, Michael E.
gro.griffith.authorVeeraraghavan, Madhu


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