Australian Stock Exchange and sub-variants of price momentum strategies

Abstract

The aim of this study is to examine the sub-variants of price momentum strategies. The paper recommends which sub-variants post above average returns for Australian Stock Exchange. It also analyzes the return behavior of short-term momentum effect among sub-variants of price momentum strategies. It has been found that monthly price momentum strategies result in above average abnormal returns, whereas weekly price momentum strategies should be used in combination with monthly price momentum strategies. Trading volume-based momentum investment strategies should not be used at all.

Investigating Joint Market Hypothesis during Periods of Financial Distress and its Implications

“…Over the years, several anomalies have been observed, ranging from the January effect (Thaler, 1987;Branch and Chang, 1990;Kumar Das and Rao, 2011), size effect (Al-Rjoub et al, 2005), Book-to-market effect (Loughran, 1997;Cakici and Topyan, 2014), momentum effect (Ejaz and Polak, 2013;Zoghlami, 2013), post-earnings announcement drift (Bernard and Thomas, 1989;Jegadeesh and Livnat, 2006;Fink, 2021), asset growth effect (Lipson et al, 2011;Watanabe et al, 2012), price clustering , overreaction and underreaction . From the abovementioned, the debate on market efficiency and inefficiency still continues till date.…”