Industry-and liquidity-based momentum in Australian equities  

作　　者：Yeng May Tan Fan Fah Cheng 

机构地区：[1]School of Economics and Management,Xiamen University Malaysia,Jalan Sunsuria,Bandar Sunsuria,43900 Sepang,Selangor,Malaysia [2]Department of Accounting and Finance,Faculty of Economics and Management,Universiti Putra Malaysia,Jalan Upm,43400 Serdang,Selangor,Malaysia

出　　处：《Financial Innovation》2019年第1期740-757,共18页金融创新（英文）

基　　金：supported by Xiamen University Malaysia Research Fund(Grant No:XMUMRF/2019-C3/ISEM/0016).

摘　　要：This study examined momentum profitability in Australia,providing further evidence for intermediate-term momentum profitability.Using data spanning different market states,we found that momentum was stronger after the global financial crisis.We also examined industry-level momentum strategies and found strong evidence for industry momentum.Specifically,industries that perform well relative to other industries continue to outperform others while those that underperform continue to perform poorly.This finding suggests the exploitability of return continuation and profit-making opportunities for traders at the industry level.Regarding liquidity,we found that it has no clear predictive power for momentum returns.Hence,our results do not appear to support the conjecture that liquidity can be a determining factor for momentum profitability in Australia.

关 键 词：Momentum strategy Stock momentum Industry momentum LIQUIDITY Market states Australia 

分 类 号：F42[经济管理—产业经济]