Concurrent momentum and contrarian strategies in the Australian stock market

@inproceedings{Doan2016ConcurrentMA,
  title={Concurrent momentum and contrarian strategies in the Australian stock market},
  author={Minh Phuong Doan and Vitali Alexeev and R. Brooks},
  year={2016}
}
We investigate the coexistence of momentum and contrarian strategies in the Australian equity market from 1992 to 2011. We show that contrarian strategies prevail in the short-term investment horizon while momentum strategies dominate in the intermediate- and long-term horizons. However, only short-term contrarian strategies significantly outperform the simple buy-and-hold strategy of investing in the market index over the same period. Further examination of these strategies shows that the… CONTINUE READING

Figures and Tables from this paper.