Momentum crashes: the Australian evidence

Gaunt, Clive (2016) Momentum crashes: the Australian evidence. JASSA: The Finsia Journal of Applied Finance, 1: 17-26.

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Name Description MIMEType Size Downloads
Author Gaunt, Clive
Title Momentum crashes: the Australian evidence
Journal name JASSA: The Finsia Journal of Applied Finance
ISSN 0313-5934
Publication date 2016
Sub-type Article (original research)
Open Access Status Not Open Access
Issue 1
Start page 17
End page 26
Total pages 10
Place of publication Sydney, NSW, Australia
Publisher Financial Services Institute of Australasia (Finsia)
Collection year 2017
Language eng
Abstract Previous studies report that significant alpha can be generated in various international equity markets by employing a momentum strategy — i.e. buying past winners and short selling past losers. However, the strategy sometimes crashes, generating large negative returns over one or more consecutive months. Using Australian data, this study generally confirms recent US findings that these crashes tend to occur following steep market declines and are characterised by large positive returns by the past Loser portfolio rather than large negative returns by the past Winner portfolio. This paper also identifies significant risk changes to a momentum strategy in bear markets but, unlike the US study, it does not find the strategy to exhibit option-like behaviour at the time of a momentum crash.
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: HERDC Pre-Audit
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Created: Mon, 04 Apr 2016, 08:50:26 EST by Karen Morgan on behalf of UQ Business School