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and return continuations for different horizons. Jegadeesh and Titman (1993) look at return continuations and refer to this phenomenon as momentum strategy. Arbitrageurs can potentially take advantage of this by buying well-performing stocks and selling poor-performing stocks. DeBondt and Thaler (1985) on the other hand demonstrate that investors can buy the losers and short sell the winners to earn abnormal profit. They argue that prior losers generally outperform the market and generally prior winners underperform, that is returns reversal. Abnormal profits of momentum  strategies and contrarian  strategies have been documented in numerous markets in the world.

Most of these studies face a problem of lack of practicability. First of all most studies do not take into consideration market imperfections such as the short-selling restrictions imposed by many stock exchanges. Studies conducted on monthly holding periods can be unrealistic in some markets in the sense that short-selling positions must be closed in a much shorter period after the transaction has occurred. In addition many stock exchanges restrict short-selling to a small sample of highly liquid stocks or those with options available. In other markets short-selling is not permitted on any stock. Many studies deal with extreme winners and extreme losers with extreme stocks defined as either the top decile or the bottom decile of returns. In any particular exchange, the investment and transaction costs involved in executing any of these strategies can be very expensive and very often out of reach to small retail investors. The first objective of this paper is to test whether practical and affordable momentum-contrarian strategies work on the Australian Stock Exchange (ASX). The profitability of these trading strategies is not unknown in the chosen market. For instance Lee, Chan, Faff and Kalev (2003), Lo and Coggins (2006), Durand, Limkriangkrai and Smith (2006) and Monagle, Ramiah, Jing, Hallahan and Naughton (2006) demonstrated the profitability of short-term contrarian profits on the Australian market, while Hurn and Pavlov (2003), Gaunt and Gray (2003), Hodgson, Masih and Masih (2004), Drew, Veeraraghavan and Ye (2004), Demir, Muthuswamy and Walter (2004) and Benson, Gallagher and Teodorowski (2005) reported the profitability of momentum investment

strategies in the same market.

澳洲留学生论文https://www.51lunwen.org/australiathesis/  Lee et al. (2003), Lo and Coggins (2006), Durand et al. (2006) and Monagle et al. (2006) studied the Lo and MacKinlay (1990), Jegadeesh and Titman (1993) version

of the contrarian strategy and found that arbitrageurs could earn excess profits from overreaction in Australia prior to transaction costs.  Using weekly data, Lee et al. (2003) attempt to explain contrarian profits with factors like measurement errors, seasonality, volume, firm size and transaction cost. They argue that these profits are primarily driven by firm size with overreaction to firm specific information. Following Dreman and Lufkin (1997), Monagle et al. (2006) employed monthly data, to test if these trends and fashions persist within specific industries of the Australian market. Durand et al. (2006) formed monthly momentum portfolios and reported effects contrary to momentum portfolios, that is contrarian profit. Lo and Coggins (2006), on the other hand, used daily and intra-day returns and applied the same strategy to the top 200 stocks on the Australian 本论文由英语论文网提供整理，提供论文代写，英语论文代写，代写论文，代写英语论文，代写留学生论文，代写英文论文，留学生论文代写相关核心关键词搜索。