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Table 1 Returns of Momentum Strategies (September 1995 to September 2014)

From: Industry- and liquidity-based momentum in Australian equities

Strategy

Panel A (3-quantiles)

Panel B (5-quantiles)

Winner

Loser

Winner-Loser

 

Winner

Loser

Winner-Loser

 

J3K3

0.0202

0.0136

0.0066

***

0.0187

0.0115

0.0072

***

5.96

3.68

3.77

 

5.97

3.44

5.08

 

J3K6

0.0202

0.0156

0.0047

***

0.0185

0.0136

0.0049

***

7.87

5.38

3.92

 

7.90

5.22

4.96

 

J3K9

0.0205

0.0166

0.0040

***

0.0183

0.0145

0.0038

***

9.60

6.83

4.38

 

9.65

6.61

5.04

 

J3K12

0.0193

0.0176

0.0017

***

0.0175

0.0152

0.0024

***

10.70

8.58

2.76

 

10.93

8.32

4.40

 

J6K3

0.0195

0.0136

0.0059

***

0.0183

0.0123

0.0060

***

5.69

3.57

2.74

 

5.86

3.60

3.43

 

J6K6

0.0195

0.0153

0.0043

***

0.0182

0.0138

0.0044

***

7.43

5.19

2.84

 

7.72

5.21

3.45

 

J6K9

0.0186

0.0163

0.0023

**

0.0174

0.0148

0.0026

***

8.43

6.72

2.21

 

9.00

6.81

2.97

 

J6K12

0.0172

0.0174

−0.0001

 

0.0164

0.0157

0.0007

 

9.16

8.60

−0.18

 

9.85

8.73

1.04

 

J9K3

0.0197

0.0142

0.0055

**

0.0185

0.0130

0.0055

***

5.63

3.71

2.49

 

5.87

3.74

2.90

 

J9K6

0.0183

0.0159

0.0024

 

0.0172

0.0146

0.0026

*

6.94

5.42

1.54

 

7.27

5.44

1.94

 

J9K9

0.0169

0.0172

−0.0003

 

0.0162

0.0157

0.0005

 

7.80

7.21

−0.27

 

8.31

7.21

0.54

 

J9K12

0.0149

0.0187

−0.0038

***

0.0150

0.0169

−0.0019

**

8.01

9.52

−4.34

 

8.92

9.43

−2.57

 

J12K3

0.0173

0.0155

0.0017

 

0.0176

0.0136

0.0039

**

4.93

4.08

0.78

 

5.53

3.97

2.13

 

J12K6

0.0160

0.0168

−0.0008

 

0.0161

0.0154

0.0007

 

6.02

5.82

−0.54

 

6.69

5.80

0.58

 

J12K9

0.0142

0.0184

−0.0042

***

0.0150

0.0167

−0.0017

 

6.49

7.92

−3.59

 

7.48

7.82

−1.79

 

J12K12

0.0129

0.0193

−0.0064

***

0.0139

0.0178

− 0.0039

**

6.88

9.92

−6.82

 

8.20

10.05

−5.08

 
  1. Note: Sample stocks were sorted into either 3 or 5 quantiles based on past J-month returns. After a one-month gap, a long position was taken for the winners and a short position for the losers. Winner minus loser represents momentum returns. The t-statistics are italicized; while * denotes significance at the 10% level, ** denotes significance at the 5% level and *** at the 1% level. All of the returns are monthly returns
  2. Bold entries have significant values