Momentum profits in the Australian equity market: A matched firm approach

Anomalies, risk adjustment and seasonality: Australian evidence

“…Durand, Limkriangkrai, and Smith (2006a) form equal-weighted portfolios from the population of stocks and found no support for momentum. While Hurn and Pavlov (2003), Demir, Muthuswamy, and Walter (2004), Bettman, Maher, and Sault (2009) and Galariotis (2010) also construct equal-weighted portfolios, they restrict the analysis to relatively large-cap stocks (the top 200, stocks approved for short selling, All Ordinaries index constituents and ASX200 constituents, respectively). Accordingly, they found strong evidence of momentum.…”

“…A variety of approaches to risk adjustment have been utilised, including a singlefactor market model (Beedles et al, 1988;Brown et al, 1983;Demir et al, 2004), a factor model derived using principal components (Hurn & Pavlov, 2003), a two-factor model with market and size factors (Brailsford & O'Brien, 2008) and a control portfolio approach matched on size and BM (Bettman et al, 2009). Galariotis (2010) explores a number of variations of the momentum strategy and reports mixed findings on the significance of risk-adjusted returns via the FF3f model.…”

Hot and Cold Strategies: Australian Evidence

“…The literature on the profitability of these trading strategies in Australia is inconclusive. For instance Lee et al (2003), Lo and Coggins (2006), Durand et al (2006) and Monagle et al (2006) demonstrated the profitability of short-term contrarian profits on the Australian market, while Hurn and Pavlov (2003), Gaunt and Gray (2003), Hodgson et al (2004), Drew et al (2004), Demir et al (2004), Benson et al (2005) and Bettman et al (2009) all reported the profitability of momentum investment strategies in the same market. Lee et al (2003), Lo and Coggins (2006), Durand et al (2006) and Monagle et al (2006) studied the Lo and MacKinlay (1990) version of the contrarian strategy and found that arbitrageurs in Australia could earn excess profits from over-reaction, prior to transaction costs.…”

The Profitability of Option‐Based Contrarian Strategies: An Empirical Analysis

“…However, Bettman et al. () present evidence to the contrary. With the apparent lack of consensus on the effect of short‐selling restrictions on these types of portfolios, this study contributes to the literature by investigating the performance of dynamic ‘hybrid’ contrarian portfolios that add options to an equity‐based contrarian trading strategy.…”