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
Date Written: 2008
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: Suggested Citation