Our note examines the momentum effect in Australia using the J-month/K-month methodology of Jegadeesh and Titman (1993, 2001). Our sample consists of stocks listed on the Australian stock exchange from January 1980 to December 2001. We do not find evidence for a momentum effect in Australia during this period. Rather, we find evidence of significantly positive returns for ‘loser’ portfolios in July-the first month of the Australian financial year.
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