메뉴 건너뛰기




Volumn 31, Issue 2, 2006, Pages 355-364

Momentum in Australia—A Note

Author keywords

AUSTRALIA; MOMENTUM

Indexed keywords


EID: 84992897881     PISSN: 03128962     EISSN: None     Source Type: Journal    
DOI: 10.1177/031289620603100209     Document Type: Article
Times cited : (38)

References (24)
  • 1
    • 84992877302 scopus 로고    scopus 로고
    • Industries, business cycle and profitability of momentum strategies: An international perspective
    • Bacmann, J., Dubois, M. & Isakov, D. 2001, ‘Industries, business cycle and profitability of momentum strategies: An international perspective’, Working Paper, University of Geneva.
    • (2001) University of Geneva
    • Bacmann, J.1    Dubois, M.2    Isakov, D.3
  • 2
    • 0142087691 scopus 로고    scopus 로고
    • Stock price reaction to news and no-news: Drift and reversal after headlines
    • Chan, W. F. 2003, ‘Stock price reaction to news and no-news: Drift and reversal after headlines’, Journal of Financial Economics, vol. 70, pp. 223–60.
    • (2003) Journal of Financial Economics , vol.70 , pp. 223-260
    • Chan, W.F.1
  • 3
    • 0141792724 scopus 로고    scopus 로고
    • An investigation into the role of liquidity in asset pricing: Australian evidence
    • Chan, H. W., & Faff, R. W. 2003. ‘An investigation into the role of liquidity in asset pricing: Australian evidence’, Pacific-Basin Finance Journal, vol. 11, no. 5, pp. 555–72.
    • (2003) Pacific-Basin Finance Journal , vol.11 , Issue.5 , pp. 555-572
    • Chan, H.W.1    Faff, R.W.2
  • 4
    • 0034381263 scopus 로고    scopus 로고
    • Profitability of momentum strategies in the international equity markests
    • Chan, K., Hameed, A. & Tong, W. 2000, ‘Profitability of momentum strategies in the international equity markests’, Journal of Financial and Quantitative Analysis, vol. 35, pp. 153–72.
    • (2000) Journal of Financial and Quantitative Analysis , vol.35 , pp. 153-172
    • Chan, K.1    Hameed, A.2    Tong, W.3
  • 6
    • 84992884725 scopus 로고    scopus 로고
    • Momentum, legal systems and ownership structure: An analysis of Asian stock markets
    • Chui, A. C. W., Titman, S. & Wei, K. C. J. 2000, ‘Momentum, legal systems and ownership structure: An analysis of Asian stock markets’, Working Paper, Hong Kong Polytechnic University.
    • (2000) Hong Kong Polytechnic University
    • Chui, A.C.W.1    Titman, S.2    Wei, K.C.J.3
  • 7
    • 1342264769 scopus 로고    scopus 로고
    • Momentum returns in Australian equities: The influences of size, risk, liquidity and return computation
    • Demir, I., Muthuswamy, J. & Walter, T. 2004, ‘Momentum returns in Australian equities: The influences of size, risk, liquidity and return computation’, Pacific-Basin Finance Journal, vol. 12, no. 2, 143-58.
    • (2004) Pacific-Basin Finance Journal , vol.12 , Issue.2 , pp. 143-158
    • Demir, I.1    Muthuswamy, J.2    Walter, T.3
  • 8
    • 33750155808 scopus 로고    scopus 로고
    • A best choice among asset pricing models? The conditional capital asset pricing model in Australia
    • Durack, N., Durand, R. B. & Maller, R. A. 2004, ‘A best choice among asset pricing models? The conditional capital asset pricing model in Australia’, Accounting and Finance, vol. 44, no. 2, 139-62.
    • (2004) Accounting and Finance , vol.44 , Issue.2 , pp. 139-162
    • Durack, N.1    Durand, R.B.2    Maller, R.A.3
  • 9
    • 84975057071 scopus 로고    scopus 로고
    • Who moved Asian-Pacific stock markets? A further consideration of the impact of the U.S. and Japan
    • Durand, R. B., Koh, S. K., & Watson, I. 2001, ‘Who moved Asian-Pacific stock markets? A further consideration of the impact of the U.S. and Japan’, Australian Journal of Management, vol. 26, no. 2, 125-45.
    • (2001) Australian Journal of Management , vol.26 , Issue.2 , pp. 125-145
    • Durand, R.B.1    Koh, S.K.2    Watson, I.3
  • 10
    • 84996171637 scopus 로고    scopus 로고
    • An examination of the Fama and French three-factor models using commercially available factors
    • Faff, R. 2001, ‘An examination of the Fama and French three-factor models using commercially available factors’, Australian Journal of Management, vol. 26, no. 1, 1-17.
    • (2001) Australian Journal of Management , vol.26 , Issue.1 , pp. 1-17
    • Faff, R.1
  • 11
    • 1242333325 scopus 로고    scopus 로고
    • A simple test of the Fama and French model using daily data: Australian evidence
    • Faff, R. 2004, ‘A simple test of the Fama and French model using daily data: Australian evidence’, Applied Financial Economics, vol. 14, pp. 83–92.
    • (2004) Applied Financial Economics , vol.14 , pp. 83-92
    • Faff, R.1
  • 12
    • 38549147867 scopus 로고
    • Common risk factors in the returns on stocks and bonds
    • Fama, E. F., & French, K. R. 1993, ‘Common risk factors in the returns on stocks and bonds’, Journal of Financial Economics, vol. 33, no. 1, 3-56.
    • (1993) Journal of Financial Economics , vol.33 , Issue.1 , pp. 3-56
    • Fama, E.F.1    French, K.R.2
  • 13
    • 33750175923 scopus 로고    scopus 로고
    • Size and book to market effects and the Fama French three factor asset pricing model: Evidence form the Australian stock market
    • Gaunt, C. 2004, ‘Size and book to market effects and the Fama French three factor asset pricing model: Evidence form the Australian stock market’, Accounting and Finance, vol. 44, pp. 27–44.
    • (2004) Accounting and Finance , vol.44 , pp. 27-44
    • Gaunt, C.1
  • 14
    • 33749021168 scopus 로고    scopus 로고
    • Short-term autocorrelation in Australian equities
    • Gaunt, C., & Gray, P. 2003, ‘Short-term autocorrelation in Australian equities’, Australian Journal of Management, vol. 28, pp. 97–117.
    • (2003) Australian Journal of Management , vol.28 , pp. 97-117
    • Gaunt, C.1    Gray, P.2
  • 15
    • 0035581626 scopus 로고    scopus 로고
    • Understanding the nature of the risks and the source of the rewards to momentum investing
    • Grundy, B. D., & Martin, S. J. 2001, ‘Understanding the nature of the risks and the source of the rewards to momentum investing’, Review of Financial Studies, vol. 14, no. 1, 29-78.
    • (2001) Review of Financial Studies , vol.14 , Issue.1 , pp. 29-78
    • Grundy, B.D.1    Martin, S.J.2
  • 16
    • 0012685202 scopus 로고    scopus 로고
    • Size and book to market effects in Australian share markets: A time series analysis
    • Halliwell, J., Heaney, R. & Sawicki, J. 1999, ‘Size and book to market effects in Australian share markets: A time series analysis’, Accounting Research Journal, vol. 12, no. 2, 122-37.
    • (1999) Accounting Research Journal , vol.12 , Issue.2 , pp. 122-137
    • Halliwell, J.1    Heaney, R.2    Sawicki, J.3
  • 17
    • 33847762540 scopus 로고    scopus 로고
    • Momentum strategies: Evidence from pacific basin stock markets
    • Hameed, A., & Kusnadi, Y. 2002, ‘Momentum strategies: Evidence from pacific basin stock markets’, Journal of Financial Research, vol. 25, no. 3, 383-97.
    • (2002) Journal of Financial Research , vol.25 , Issue.3 , pp. 383-397
    • Hameed, A.1    Kusnadi, Y.2
  • 18
    • 0039372663 scopus 로고    scopus 로고
    • Bad news travels slowly: Size analyst coverage and the profitability of momentum strategies
    • Hong, H., Lim, T. & Stein, J. C. 2000, ‘Bad news travels slowly: Size analyst coverage and the profitability of momentum strategies’, Journal of Finance, vol. 55, pp. 265–95.
    • (2000) Journal of Finance , vol.55 , pp. 265-295
    • Hong, H.1    Lim, T.2    Stein, J.C.3
  • 19
    • 84996227977 scopus 로고    scopus 로고
    • Momentum in Australian stock returns
    • Hurn, S., & Pavlov, V. 2003, ‘Momentum in Australian stock returns’, Australian Journal of Management, vol. 28, pp. 141–55.
    • (2003) Australian Journal of Management , vol.28 , pp. 141-155
    • Hurn, S.1    Pavlov, V.2
  • 20
    • 84993907227 scopus 로고
    • Returns to buying winners and selling losers: Implications for stock market efficiency
    • Jegadeesh, N., & Titman, S. 1993, ‘Returns to buying winners and selling losers: Implications for stock market efficiency’, Journal of Finance, vol. 48, no. 1, 65-91.
    • (1993) Journal of Finance , vol.48 , Issue.1 , pp. 65-91
    • Jegadeesh, N.1    Titman, S.2
  • 21
    • 0041075295 scopus 로고    scopus 로고
    • Profitability of momentum strategies: An evaluation of alternative explanations
    • Jegadeesh, N., & Titman, S. 2001, ‘Profitability of momentum strategies: An evaluation of alternative explanations’, Journal of Finance, vol. 56, no. 2, 699-720.
    • (2001) Journal of Finance , vol.56 , Issue.2 , pp. 699-720
    • Jegadeesh, N.1    Titman, S.2
  • 22
    • 0010734388 scopus 로고    scopus 로고
    • Price momentum and trading volume
    • Lee, C., & Swaminthan, B. 2000, ‘Price momentum and trading volume’, Journal of Finance, vol. 55, no. 5, 1217-68.
    • (2000) Journal of Finance , vol.55 , Issue.5 , pp. 1217-1268
    • Lee, C.1    Swaminthan, B.2
  • 23
    • 0040165125 scopus 로고    scopus 로고
    • International momentum strategies
    • Rouwenhorst, G. K. 1998, ‘International momentum strategies’, Journal of Finance, vol. 53, no. 1, 267-84.
    • (1998) Journal of Finance , vol.53 , Issue.1 , pp. 267-284
    • Rouwenhorst, G.K.1
  • 24
    • 0012584954 scopus 로고    scopus 로고
    • Local return factors and turnover in emerging stock markets
    • Rouwenhorst, G. K. 1999, ‘Local return factors and turnover in emerging stock markets’, Journal of Finance, vol. 54, no. 4, 1439-64.
    • (1999) Journal of Finance , vol.54 , Issue.4 , pp. 1439-1464
    • Rouwenhorst, G.K.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.