Industry- and liquidity-based momentum in Australian equities

Tan, Yeng May; Cheng, Fan Fah

doi:10.1186/s40854-019-0155-z

Financial Innovation

Table 8 Momentum Returns Across Different Time Periods

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

Panel A: Asian Financial Crisis (January 1997 to December 1999)					Panel B: Global Financial Crisis (January 2007 to December 2009)
Strategy	Winner	Loser	Winner-Loser		Winner	Loser	Winner-Loser
J3K3	0.0177	0.0096	0.0081		0.0076	0.0129	−0.0054
J3K3	2.25	1.03	1.90		0.48	0.91	−1.02
J3K6	0.0181	0.0086	0.0095	*******	−0.0085	0.0013	−0.0098
J3K6	2.12	1.07	5.38		−0.75	0.09	−1.56
J3K9	0.0143	0.0067	0.0075	*******	−0.0213	−0.0153	− 0.0060
J3K9	1.86	0.94	7.52		−3.51	−1.52	−1.10
J6K3	0.0177	0.0096	0.0128	*******	0.0036	0.0173	−0.0138
J6K3	2.25	1.03	3.10		0.26	1.06	−1.69
J6K6	0.0204	0.0073	0.0131	*******	−0.0099	0.0042	−0.0141
J6K6	2.19	0.99	5.44		−1.02	0.27	− 1.78
J6K9	0.0110	0.0070	0.0039	*******	−0.0206	−0.0158	−0.0047
J6K9	1.38	1.11	2.22		−3.28	−1.58	−0.90
J9K3	0.0221	0.0132	0.0133		0.0038	0.0219	−0.0181	**
J9K3	2.45	3.72	1.90		0.29	1.29	−2.06
J9K6	0.0160	0.0119	0.0041		−0.0083	0.0130	−0.0130
J9K6	1.74	1.70	1.59		−0.82	3.35	−1.53
J9K9	0.0081	0.0106	−0.0025		−0.0210	−0.0143	− 0.0068
J9K9	1.06	1.64	−1.85		−3.46	−1.47	− 1.18
Panel C (January 2000 to December 2006)					Panel D (January 2010 to September 2014)
Strategy	Winner	Loser	Winner-Loser		Winner	Loser	Winner-Loser
J3K3	0.0191	0.0112	0.0079	*******	0.0094	−0.0012	0.0106	*******
J3K3	4.84	2.56	3.89		1.42	−0.17	4.90
J3K6	0.0190	0.0143	0.0046	*******	0.0085	−0.0004	0.0089	*******
J3K6	6.56	4.13	3.09		1.77	−0.08	13.55
J3K9	0.0199	0.0162	0.0037	*******	0.0040	−0.0051	0.0091	*******
J3K9	8.74	5.71	3.14		1.32	−1.78	11.14
J6K3	0.0176	0.0120	0.0056	**	0.0102	−0.0010	0.0111	*******
J6K3	4.63	2.58	2.23		1.51	−0.14	6.90
J6K6	0.0176	0.0144	0.0033		0.0092	0.0004	0.0088	*******
J6K6	6.39	3.97	1.77		1.90	0.09	8.54
J6K9	0.0180	0.0161	0.0019		0.0029	−0.0044	0.0073	*******
J6K9	8.04	5.59	1.38		0.94	−1.60	8.77
J9K3	0.0171	0.0125	0.0046		0.0111	−0.0031	0.0142	*******
J9K3	4.46	2.64	1.80		1.69	−0.49	6.93
J9K6	0.0166	0.0146	0.0020		0.0088	−0.0008	0.0096	*******
J9K6	5.97	4.06	1.04		1.80	−0.18	6.86
J9K9	0.0164	0.0166	−0.0002		0.0017	−0.0037	0.0054	*******
J9K9	7.41	5.86	−0.14		0.53	−1.47	4.25

This table reports mean returns on a monthly basis. Sample stocks are sorted by the 20% breakpoint. The t-statistics are italicized; ** denotes significance at the 5% level and *** at the 1% level. We did not perform strategies with formation and holding periods of 12 months due to the relatively brief period of analysis
Bold entries have significant values

Back to article page