TY - JOUR
T1 - Are stock returns related toshort-term and long-term past returns? Australian evidence
AU - Gharghori, Philip
AU - Lee, Ronald
AU - Veeraraghavan, Madhu
PY - 2008/7
Y1 - 2008/7
N2 - The purpose of this article is to identify whether there is a short-term continuation of returns and a long-term reversal of returns in an Australian setting and to subsequently investigate if the Capital Asset Pricing Model (hereafter CAPM) and the Fama and French (1993) three factor model (hereafter FFM) are capable of explaining these anomalies. We find a short-term continuation of returns but not a long-term reversal of returns. We also find that both models fail to explain the short-term continuation in returns. However, the FFM yields higher explanatory power than the CAPM.
AB - The purpose of this article is to identify whether there is a short-term continuation of returns and a long-term reversal of returns in an Australian setting and to subsequently investigate if the Capital Asset Pricing Model (hereafter CAPM) and the Fama and French (1993) three factor model (hereafter FFM) are capable of explaining these anomalies. We find a short-term continuation of returns but not a long-term reversal of returns. We also find that both models fail to explain the short-term continuation in returns. However, the FFM yields higher explanatory power than the CAPM.
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U2 - 10.1080/17446540701720535
DO - 10.1080/17446540701720535
M3 - Article
AN - SCOPUS:47049124749
SN - 1744-6546
VL - 4
SP - 277
EP - 282
JO - Applied Financial Economics Letters
JF - Applied Financial Economics Letters
IS - 4
ER -