000			02022nam a22002657a 4500
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008			241119b |||||||| |||| 00| 0 eng d
022			_a03128962
040			_aMSU _bEnglish _cMSU _erda
050	0	0	_aHD31 AUS
100	1		_aBettman, Jenni L. _eauthor
245	1	4	_aThe impact of liquidity and transaction costs on the 52-week high momentum strategy in Australia/ _ccreated by Jenni L. Bettman, Stephen J. Sault, and Anna H. von Reibnitz
264	1		_aLos Angeles : _bSage, _c2010.
336			_2rdacontent _atext _btxt
337			_2rdamedia _aunmediated _bn
338			_2rdacarrier _avolume _bnc
440			_aAustralian journal of management _vVolume 35, number 3
520	3		_aIn this paper we investigate the profitability of the 52-week high momentum strategy in the Australian equity market over the period 1996—2008. We provide the first examination of the economic significance of the strategy by applying short-sale restrictions and utilizing bid-and-ask prices and trading volume to proxy for transaction costs and liquidity constraints, respectively. Testing reveals that the strategy yields significantly positive raw returns when concentrated purely on the more liquid stocks in the market, with significantly negative returns evident among illiquid stocks. This suggests that the anchor-and-adjust bias on which the strategy is based only exists among stocks with sufficient liquidity. Furthermore, the 52-week high strategy comprising liquid stocks fails to produce significant dollar profits once short-sale restrictions, transaction costs and liquidity constraints are accounted for. We therefore conclude that the 52-week high momentum trading strategy is not of practical use to investors in Australia.
650			_aLiquidity effect _vTransaction costs _xProfitability _zAustralia
700	1		_aSault, Stephen J. _eco author
700	1		_aReibnitz, Anna H. von _eco author
856			_uhttps://doi.org/10.1177/0312896210385282
942			_2lcc _cJA
999			_c168275 _d168275