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Australian momentum: Performance, capacity and the GFC effect
Accounting and Finance
  • Bruce Vanstone, Bond University
  • Tobias Hahn, Bond University
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Document Type
Journal Article
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Vanstone, B.J., & Hahn, T. (2015, online). Australian momentum: Performance, capacity and the GFC effect. Accounting and Finance.

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2015 HERDC submission

Copyright © 2015 AFAANZ

This paper assesses the performance of momentum strategies in Australia, and how they were affected by the GFC. This paper is the first to address the issue of the dollar capacity of momentum strategies in the Australian market. We find evidence of a strong momentum effect in Australia amongst the S&P/ASX200 constituents. We find that momentum portfolios suffered during the GFC, but the effect was not persistent. Finally, we show that the capacity of the momentum effect in Australia is large enough in dollar terms to reject the assertion that momentum is more of a theoretical than a practical construct.
Citation Information
Bruce Vanstone and Tobias Hahn. "Australian momentum: Performance, capacity and the GFC effect" Accounting and Finance (2015) p. 1 - 27 ISSN: 0810-5391
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