Momentum in Australian style portfolios: risk or inefficiency?

Title: Momentum in Australian style portfolios: risk or inefficiency?
Creator: Chan, Howard; Docherty, Paul
Relation: ARC.LP0560381
Relation: Accounting and Finance Vol. 56, Issue 2, p. 333-361
Publisher Link: http://dx.doi.org/10.1111/acfi.12106
Publisher: Wiley-Blackwell
Resource Type: journal article
Date: 2016
Description: Momentum strategies have been reported to be successful across a range of different markets and asset classes. Three possible explanations for momentum have been hypothesised: risk, return continuation and excessive co-movement of stock returns compared with dividends. Lewellen (2002) adds to this literature by providing evidence of strong momentum returns in style portfolios that can be explained by negative cross-serial correlation, a result which supports the excess co-movement hypothesis. We report robust evidence of style momentum in the Australian market and use the Jegadeesh and Titman (1995) return decomposition to show that this momentum strategy is predominately explained by positive autocorrelation. Our results support the return continuation hypothesis and confirm Chen and Hong's (2002) assertion that Lewellen's (2002) explanation of style momentum returns does not stand up out-of-sample.
Subject: asset pricing; momentum; style investing; Fama–French model
Identifier: http://hdl.handle.net/1959.13/1319462
Identifier: uon:23872
Identifier: ISSN:0810-5391
Language: eng
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