Australian momentum: performance, capacity and the GFC effect. (29th April 2015)

• Record Type: Journal Article
• Authors: Vanstone, Bruce J.; Hahn, Tobias
• Editors: Smith, Tom
• Is Part Of: Accounting and finance. Volume 57:Number 1(2017)
• Page Start: 261
• Page End: 287
• Publication Date: 2015-04-29
• Subjects: Momentum -- Australia -- ASX -- Economic viability -- GFC; Accounting -- Periodicals; Finance -- Periodicals; 657.05
• DOI: 10.1111/acfi.12140
• Languages: English
• ISSNs: 0810-5391

Abstract

Abstract: 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.