It is well documented that past winning stocks continue to outperform past losing stocks in numerous equity markets. However, existing Australian evidence on the momentum effect is contradictory and limited, partly due to differences in empirical designs, sample periods and stock populations. We...

Unlike in other developed equity markets, short sellers in Australia are required to report their covered short positions on a daily basis to the market regulator, who subsequently disseminates this information freely to the public in a very timely manner. If short selling contains negative...