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 Type:	Refereed Article
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:	2
Deposited By:	TSBE
Deposited On:	2014-06-11
Last Modified:	2018-03-07
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