Influential Article Review - Exploring the Dynamics of Australian Equities

Abstract

This paper examines finance and strategy. We present insights from a highly influential paper. Here are the highlights from this paper: 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. For our overseas readers, we then present the insights from this paper in Spanish, French, Portuguese, and German.