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Concurrent momentum and contrarian strategies in the Australian stock market

journal contribution
posted on 2023-05-18, 01:24 authored by Doan, MP, Alexeev, V, Brooks, R
We investigate the coexistence of momentum and contrarian strategies in the Australian equity market from 1992 to 2011. We show that contrarian strategies prevail in the short-term investment horizon while momentum strategies dominate in the intermediate- and long-term horizons. However, only short-term contrarian strategies significantly outperform the simple buy-and-hold strategy of investing in the market index over the same period. Further examination of these strategies shows that the Australian mining sector undermines the performance of momentum while enhancing performance of contrarian strategies. Lastly, using both parametric and non-parametric approaches, we show that these strategies’ returns are persistent anomalies and not completely explained by standard return-generating models.

History

Publication title

Australian Journal of Management

Volume

41

Pagination

77-106

ISSN

0312-8962

Department/School

TSBE

Publisher

Sage Publications Ltd.

Place of publication

Australia

Rights statement

Copyright 2014 The Authors

Repository Status

  • Restricted

Socio-economic Objectives

Investment services (excl. superannuation)

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