سود شتاب در بازار سهام استرالیا: یک مشابه رویکرد شرکت

This paper examines momentum trading strategies within the Australian equity market over the period 1990 to 2007, inclusive. We analyse excess returns employing both Jegadeesh and Titman's (Jegadeesh, N., Titman, S., 1993. “Returns to buying winners and selling losers: implications for stock market efficiency”. The Journal of Finance, 48:65–91) zero cost investment portfolio approach and a matched control firm approach. We also allow for short sale restrictions, liquidity constraints and transaction costs in the form of bid-ask spreads. Testing reveals that both the Jegadeesh and Titman (Jegadeesh, N., and Titman, S. (1993). “Returns to buying winners and selling losers: implications for stock market efficiency”. The Journal of Finance, 48:65–91.) zero cost investment portfolio approach and the matched control firm approach yield excess profits. While the implementation of short sale restraints increases momentum profitability, the subsequent inclusion of bid-ask spreads results in a reduction in these gains. Further, we find that executing a momentum strategy in Australia results in statistically significant dollar profits.

The efficient market hypothesis (“EMH”) is a central tenet of modern finance theory and states that a market is efficient when prices “fully reflect all available information” (Fama, 1970: p.1). Although acceptance of the EMH remains widespread (see, for example, Fama, 1998, Schwert, 2003 and Malkiel, 2005), there is growing evidence of empirical deviations away from market efficiency. Jegadeesh and Titman (1993) argue that one notable deviation is momentum, where past price movements over a three- to twelve-month period predict future movements in the same direction (Jegadeesh and Titman, 1993). Accordingly, the simultaneous purchase of past winners and short sale of past losers earns significant excess returns over a three- to twelve-month performance period. Jegadeesh and Titman (1993) provide the first empirical evidence of momentum profits. They focus on an equally weighted zero cost momentum portfolio which buys (short sells) the decile of stocks with the strongest (weakest) historical price performance. Specifically, the long (short) position comprises stocks in the top (bottom) performance decile over a formation window of three- to twelve-months. Following this, the momentum portfolio is held for a three- to twelve-month performance period. Jegadeesh and Titman (1993) find that, over the period 1965 to 1989, an equally weighted decile momentum strategy in the United States (“U.S.”) market earns excess profits of 0.95% per month. The extant empirical literature provides further support for the efficacy of momentum trading strategies across numerous overseas equity markets. Specifically, it documents significant abnormal profits in the U.S. (see, for example, Jegadeesh and Titman, 2001; and, Grundy and Martin, 2001), the United Kingdom (“U.K.”) (see, for example, Liu et al., 1999), Europe (see, for example, Rouwenhorst, 1998 and Forner and Marhuenda, 2003), as well as a number of developing markets (see, for example, Rouwenhorst, 1999 and Griffin et al., 2003). Conrad and Kaul (1998), Grundy and Martin (2001), and Bacmann et al. (2001) document evidence of significant momentum in the U.S. equity market. Grundy and Martin (2001) observe a risk adjusted abnormal return of 1.34% per month over a 1926 to 1995 sample. Furthermore, Rouwenhorst (1998) determines that a momentum portfolio formed across 12 European countries1 earns significant abnormal momentum profits of 1.16% per month, while Griffin et al. (2003) document that momentum trading strategies yield significant abnormal returns in 12 of the 17 European countries2 examined. Further evidence from Europe (Nijman et al., 2002), the U.K. (Liu et al., 1999), Spain (Forner and Marhuenda, 2003), the G-7 countries (Bacmann et al., 2001), and emerging markets (Rouwenhorst, 1999) also supports the findings of Jegadeesh and Titman (1993). However, evidence of momentum within the Asian region remains inconclusive. Specifically, Hameed and Kusnadi (2002) fail to find evidence of momentum across the markets of Hong Kong, Malaysia, Singapore, South Korea, Taiwan, and Thailand. Griffin et al. (2003) examine 12 Asian markets3 and conclude that none experiences significantly positive abnormal momentum profits. Further, Chui et al. (2000) also report insignificant momentum profits in the Asian region.4 Significantly, there is limited and mixed evidence regarding the existence of momentum profits within the Australian equity market. Hurn and Pavlov (2003), Demir et al. (2004), and Marshall and Cahan (2005) all report significant momentum profits in the Australian market, yet Griffin et al. (2003) and Durand et al. (2006) do not find evidence of a momentum effect. Demir et al. (2004) and Marshall and Cahan (2005) document buy-and-hold excess returns of 1.72% and 0.59% per month, respectively.5 This study provides further evidence of the profitability of momentum trading strategies within the Australian equity market. Utilising the methodology outlined by Jegadeesh and Titman (1993), our findings reveal that a zero cost investment portfolio approach yields significant excess returns over the period 1990 to 2007, inclusive. These results are consistent with the findings of Demir et al. (2004) and Marshall and Cahan (2005). We extend the analysis of Jegadeesh and Titman (1993) with the inclusion of three innovations. First, we are the first study to apply the Barber and Lyon (1997) matched sample methodology to measure momentum profits6. Barber and Lyon (1997), Kothari and Warner (1997), and Lyon et al. (1999) argue that commonly used methods of testing for abnormal returns yield misspecified test statistics.7 Further, Barber and Lyon (1997) argue that cumulative abnormal returns differ systematically from buy-and-hold returns8 and buy-and-hold returns measured relative to a reference portfolio, such as a market index, are subject to biases that can result in the erroneous rejection of the null hypothesis. Accordingly, by employing size and book-to-market matched control portfolios we provide a better specified test of excess momentum profits. Our results indicate that significant momentum profits exist in the Australian equity market when measured relative to size and book-to-market matched control portfolios. By utilising the matched sample methodology of Barber and Lyon (1997) we provide significant evidence that momentum profits in the Australian equity market are robust to the choice of an abnormal return metric. Second, this paper provides further evidence that momentum profits in the Australian equity market are robust to both short selling restrictions and transaction costs in the form of bid-ask spreads. Current Australian research fails to realistically account for the joint impact of short selling restrictions9 and bid-ask spreads on momentum profits, and consequently, may overstate excess returns. By accounting for short sale constraints and bid-ask spreads in our study we provide a more realistic estimation of momentum profits. Specifically, although bid-ask spreads cause an appreciable decline in overall returns of an unrestricted portfolio, momentum profits remain significant. Our results also indicate that while short selling restrictions have a positive impact on momentum profits, the subsequent inclusion of bid-ask spreads in this restricted portfolio leads to a reduction in these gains. In contrast to a number of overseas studies that argue that momentum profits are subsumed by high transaction costs (see, for example, Lesmond et al., 2004), our testing indicates that momentum trading strategies are not weighted towards stocks with excessively high bid-ask spread costs. Finally, despite the analysis detailed above, a question still remains as to whether momentum profits are exploitable by investors. To answer this question, we simulate the activity of an investor by incorporating short sale restrictions, liquidity constraints in the form of trading volume, and transaction costs by purchasing all shares at the quoted closing ask price, and selling/short selling them at the quoted closing bid price. Our results reveal that statistically significant dollar profits can be achieved by an investor.

This study examines the profitability of momentum trading strategies within the Australian equity market. While this paper utilises the Jegadeesh and Titman (1993) equally weighted decile momentum trading strategy, we extend their analysis in a number of significant ways. First, this study represents the first application of Barber and Lyon's (1997) matched sample methodology to examine excess momentum profits. Second, we also provide further Australian evidence on the robustness of excess momentum profits to short selling restrictions and transaction costs in the form of bid-ask spreads. Further, we present the first empirical study to document the average dollar profits obtainable from implementing a Jegadeesh and Titman (1993) inspired momentum strategy incorporating short selling restrictions, transaction costs in the form of buying at the ask price and selling at the bid price, and liquidity constraints. We provide verification of the significance of momentum profits in the Australian equity market. Although the extant empirical literature documents significant excess momentum profits across numerous overseas equity markets (see, for example, Rouwenhorst, 1998 and Jegadeesh and Titman, 2001), existing Australian evidence is both limited and contradictory. While Demir et al. (2004) and Marshall and Cahan (2005) document excess returns, Griffin et al. (2003) fail to find evidence of significant momentum profits. Our findings of six-month excess buy-and-hold returns of 17.88% when utilising Jegadeesh and Titman's (1993) zero cost investment portfolio approach are consistent with those of Demir et al. (2004) and Marshall and Cahan (2005). More significantly, this paper provides the first examination of momentum profits using Barber and Lyon (1997) size and book-to-market matched control portfolios. Using this methodology we document six-month buy-and-hold excess momentum profits of 17.79%. Furthermore, we provide the first evidence that momentum profits in the Australian equity market are robust to short selling restrictions, liquidity constraints and bid-ask spread costs, and in doing so, present a more realistic estimation of momentum profits in the Australian equity market. Specifically, our results indicate that the imposition of short selling restrictions has a positive impact upon momentum profits, while the subsequent inclusion of bid-ask spreads results in a reduction in these gains. Also, statistically significant six-month average dollar profits of $14.46 million are available from executing a Jegadeesh and Titman (1993) inspired momentum strategy in the Australian equity market.