The purpose of this paper is to expand the research on momentum strategies in the securities market. Specifically, it … examines the momentum anomaly in respect to the commodity futures market, and closely follows recent work as studied by Miffre … and Rallis (2007). This study identifies one statistically significant short term (1 to 12 months) momentum strategy …

This thesis identifies and examines evidence of e-commerce in three large businesses (Woolworths, Momentum and Santam …

Prior evidence concerning momentum in Australian equity returns has produced inconsistent results. This study examines … the interaction between momentum and firm size. Specifically, we report that momentum returns are significant only for … larger portfolios, and that this finding explains the inconsistent results of prior research. We demonstrate that momentum is …

with a long-short momentum portfolio. Within the same time period, a trading strategy using the sentiment scores from the … contemporaneous returns. The findings suggest that (i) the market underreacts to information contained in news articles, (ii) momentum …

In this paper, we follow Jegadeesh and Titman's (1993, Journal of Finance) approach to examine 25 momentum … momentum profitability in any of the 25 strategies. In contrast, there is some evidence of reversal effects where the past …-sectional variation of average stock returns in our momentum/contrarian strategies. There is no evidence of any seasonal pattern, and the …

elasticity and a momentum factor, which is psychological in nature. The model explains well the systematic risks in housing …

portfolios sorted on momentum show that the scaled ICAPM explains relatively well the dispersion in excess returns on the 30 … portfolios. The results for an alternative set of equity portfolios (25 portfolios sorted on size and momentum) show that the … scaled ICAPM prices particularly well the momentum portfolios. Moreover, the scaled ICAPM compares favorably with alternative …

momentum documented by Lee and Swaminathan (2000). Our results are also consistent with a variety of other empirically …

This paper provides new empirical evidence that price-based momentum indicator variables can enhance the ability of … horizons for particularly, small-cap stocks. Momentum variables are shown to be important in the shorter term horizons. This …