Momentum returns in Australian equities

The influences of size, risk, liquidity and return computation

Isabelle Demir, Jay Muthuswamy, Terry Walter*

*Corresponding author for this work

Research output: Contribution to journalArticle

78 Citations (Scopus)


The apparent predictability of stock prices, and the related profitability of investment strategies based on this, has generated a great deal of research. Since the late 1980s, momentum strategies have attracted considerable attention and have been found to be profitable in numerous markets. This paper investigates the returns to short-term and intermediate-horizon momentum strategies in the Australian equity market. We focus on 'practical' or 'realistic' investment strategies, and find that momentum is prevalent in the Australian market and that the returns are of greater magnitude than previously found in overseas markets. These momentum strategy returns are robust to risk adjustment and prevail over time. We also examine the interaction of momentum on size and liquidity variables and conclude that the observed profits to these investment strategies are not explained by size or liquidity differences among the stocks.

Original languageEnglish
Pages (from-to)143-158
Number of pages16
JournalPacific-Basin finance journal
Issue number2
Publication statusPublished - Apr 2004


  • Liquidity
  • Momentum returns
  • Return computation
  • Risk
  • Size

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