Momentum returns in Australian equities: The influences of size, risk, liquidity and return computation

Pacific Basin Finance Journal

Volumn 12, Issue 2, 2004, Pages 143-158

  Demir, Isabelle ^a   Muthuswamy, Jay ^b   Walter, Terry ^c,d  

^a NATIONAL AUSTRALIA BANK   (Australia)

^b UNIVERSITY OF SYDNEY   (Australia)

^c UNIVERSITY OF NEW SOUTH WALES   (Australia)

^d CAPITAL MARKETS CRC LIMITED   (Australia)

Author keywords

Liquidity; Momentum returns; Return computation; Risk; Size

Indexed keywords

EID: 1342264769     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.pacfin.2003.07.002     Document Type: Article

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