This paper examines the momentum strategy in Australia under the debate on whether momentum strategy is profitable in … Australia. It studies both the price and alpha momentum strategy performance under several lookback periods, and applies short …, and alpha momentum strategies generate significant returns for the 9- and 12-month lookback period, and the short …

We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive … returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the … momentum-sorted portfolios entirely but not the reverse. Thus, momentum can be considered an imperfect proxy for acceleration …