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Momentum Investing And The Gfc: The Case Of The S&P/Asx100, Bruce Vanstone, Tobias Hahn
Momentum Investing And The Gfc: The Case Of The S&P/Asx100, Bruce Vanstone, Tobias Hahn
Tobias Hahn
This paper aims to contribute to the literature on momentum by documenting the performance of a variety of momentum strategies in the S&P/ASX100 index, and subsequently investigating whether the performance of these momentum strategies was affected by the Global Financial Crisis (GFC). Prior momentum studies in Australian equity markets have produced mixed results, describing performance ranging from startling outperformance to no effect. Firstly, we document returns to momentum strategies with varying formation and holding periods in the S&P/ASX100. We focus on practical strategies by measuring momentum in the S&P/ASX100. Many researchers test momentum strategies within artificially determined market strata created …
Momentum Investing And The Gfc: The Case Of The S&P/Asx100, Bruce Vanstone, Tobias Hahn
Momentum Investing And The Gfc: The Case Of The S&P/Asx100, Bruce Vanstone, Tobias Hahn
Bruce Vanstone
This paper aims to contribute to the literature on momentum by documenting the performance of a variety of momentum strategies in the S&P/ASX100 index, and subsequently investigating whether the performance of these momentum strategies was affected by the Global Financial Crisis (GFC). Prior momentum studies in Australian equity markets have produced mixed results, describing performance ranging from startling outperformance to no effect. Firstly, we document returns to momentum strategies with varying formation and holding periods in the S&P/ASX100. We focus on practical strategies by measuring momentum in the S&P/ASX100. Many researchers test momentum strategies within artificially determined market strata created …