Momentum Effects in the Largest Australian and New Zealand Shares

INFINZ Journal, pp. 30-33, September 2008

9 Pages Posted: 21 Feb 2008 Last revised: 21 Jul 2009

See all articles by Philip A. Stork

Philip A. Stork

Vrije Universiteit Amsterdam, School of Business and Economics; Tinbergen Institute

Date Written: 2008

Abstract

Momentum effects in the largest twenty Australian and fifteen New Zealand shares are analyzed. In the medium term, past winners continue to outperform past losers. The results are statistically significant for both countries and across various ranking and holding periods. A practical long/short investment strategy was back tested and proven to be economically profitable over the last decade.

Keywords: Momentum, shares, Australia, New Zealand, investment strategy

JEL Classification: G10

Suggested Citation

Stork, Philip A., Momentum Effects in the Largest Australian and New Zealand Shares (2008). INFINZ Journal, pp. 30-33, September 2008, Available at SSRN: https://ssrn.com/abstract=1095942

Philip A. Stork (Contact Author)

Vrije Universiteit Amsterdam, School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands

Tinbergen Institute ( email )

Gustav Mahlerplein 117
Amsterdam, 1082 MS
Netherlands

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