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Concurrent momentum and contrarian strategies in the Australian stock market
Citation
Doan, MP and Alexeev, V and Brooks, R, Concurrent momentum and contrarian strategies in the Australian stock market, Australian Journal of Management, 41, (1) pp. 77-106. ISSN 0312-8962 (2014) [Refereed Article]
Copyright Statement
Copyright 2014 The Authors
DOI: doi:10.1177/0312896214534864
Abstract
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.
Item Details
Item Type: | Refereed Article |
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Keywords: | Model-based bootstrap, momentum and contrarian strategies, technical analysis |
Research Division: | Commerce, Management, Tourism and Services |
Research Group: | Banking, finance and investment |
Research Field: | Investment and risk management |
Objective Division: | Commercial Services and Tourism |
Objective Group: | Financial services |
Objective Field: | Investment services (excl. superannuation) |
UTAS Author: | Alexeev, V (Dr Vitali Alexeev) |
ID Code: | 92248 |
Year Published: | 2014 |
Web of Science® Times Cited: | 4 |
Deposited By: | TSBE |
Deposited On: | 2014-06-11 |
Last Modified: | 2018-03-07 |
Downloads: | 0 |
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