Returns to both traditional and risk-managed momentum strategies are non-normal, reducing the efficacy of the Sharpe ratio as an evaluation tool. To account for the higher moments of the return distribution, we evaluate momentum using the framework of myopic loss aversion. Under this framework,...

Momentum strategies generate significant positive returns over long investment horizons; however these strategies experience infrequent periods of large negative returns. These periods are known as 'momentum crashes'. We demonstrate that the probability of a momentum crash is time-varying,...

Trend extrapolation in financial markets has been well documented, however it is contentious as to which trends will be extrapolated or mean reverted. We examine whether investors are more likely to extrapolate trends that they perceive to be salient by examining an investment strategy that...

We provide robust evidence of momentum crashes within the Asian region, which occurred following the Asian financial crisis and the global financial crisis. The probability of a momentum crash is time-varying; it increases after periods of low market returns and high cross-sectional return...

Unlike US and Continental European jurisdictions, Australian monetary policy announcements are not followed promptly by projections materials or comprehensive summaries that explain the decision process. This information is disclosed 2weeks later when the explanatory minutes of the Reserve Bank...

The Fama-French three-factor model (1993) has been extensively used to study the pricing of nonfinancial stocks. This study provides the first examination of the pricing of Australian financial stocks using the Fama-French framework. The four-factor model (market, size, book-to-market and...

Unlike acquiring company shareholders in Australian takeovers, but like shareholders in government initial public offerings, shareholders of companies purchasing Australian government assets earn economically and statistically significant positive abnormal returns. However, unlike privatisations...