Abstract
Medium-term momentum, or the tendency of investment strategies based on buying past winning stocks while selling past losing stocks to maintain above normal performance over a period, has been a well-documented feature of stock returns in the US. We investigate the performance of momentum investment strategies in portfolios of Australian stocks and examine some of the common explanations and empirical features of momentum. The paper establishes the presence of a strong medium-term momentum effect, which cannot be completely accounted for by any of the possible explanations considered in this paper.
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