publication . Preprint . 2004

Do Momentum Strategies Work?: - Australian Evidence

Michael E. Drew; Madhu Veeraraghavan; Min Ye;
Open Access
  • Published: 20 Jan 2004
Abstract
This paper investigates the profitability of momentum investment strategy and the predictive power of trading volume for equities listed in the Australian Stock Exchange. Recent research finds that momentum and trading volume appear to predict subsequent returns in U.S. market and past volume helps to reconcile intermediate-horizon “under reaction” and long-horizon “overreaction” effects. However, bulk of the evidence on this important relationship between past returns and future returns is limited to U.S. portfolios. This study provides an out of sample evidence by examining the relationship between “trading volume” (measured by the turnover ratio) and “momentu...
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