{"id":"https://openalex.org/W1987597290","doi":"https://doi.org/10.1108/01140580710819889","title":"Return\u2010based investment strategies in the New Zealand stock market: momentum wins","display_name":"Return\u2010based investment strategies in the New Zealand stock market: momentum wins","publication_year":2007,"publication_date":"2007-05-22","ids":{"openalex":"https://openalex.org/W1987597290","doi":"https://doi.org/10.1108/01140580710819889","mag":"1987597290"},"language":"en","primary_location":{"id":"doi:10.1108/01140580710819889","doi":"https://doi.org/10.1108/01140580710819889","is_oa":false,"landing_page_url":"https://doi.org/10.1108/01140580710819889","pdf_url":null,"source":{"id":"https://openalex.org/S66624660","display_name":"Pacific Accounting Review","issn_l":"0114-0582","issn":["0114-0582","2041-5494"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","norway-1","poland-40","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310319811","host_organization_name":"Emerald Publishing Limited","host_organization_lineage":["https://openalex.org/P4310319811"],"host_organization_lineage_names":["Emerald Publishing Limited"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Pacific Accounting Review","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5060610153","display_name":"Abeyratna Gunasekarage","orcid":"https://orcid.org/0000-0003-4934-881X","observed_orcids":["https://orcid.org/0000-0003-4934-881X"]},"institutions":[{"id":"https://openalex.org/I185492890","display_name":"University of Canterbury","ror":"https://ror.org/03y7q9t39","country_code":"NZ","type":"education","lineage":["https://openalex.org/I185492890"]}],"countries":["NZ"],"is_corresponding":false,"raw_author_name":"Abeyratna Gunasekarage","raw_affiliation_strings":["University of Canterbury, Christchurch, New Zealand"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Canterbury, Christchurch, New Zealand","institution_ids":["https://openalex.org/I185492890"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5072280226","display_name":"Hung Wan Kot","orcid":"https://orcid.org/0000-0001-7736-6906","observed_orcids":["https://orcid.org/0000-0001-7736-6906"]},"institutions":[{"id":"https://openalex.org/I141568987","display_name":"Hong Kong Baptist University","ror":"https://ror.org/0145fw131","country_code":"HK","type":"education","lineage":["https://openalex.org/I141568987"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Hung Wan Kot","raw_affiliation_strings":["Hong Kong Baptist University, Kowloon Tong, Hong Kong","Hong Kong Baptist University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Hong Kong Baptist University, Kowloon Tong, Hong Kong","institution_ids":["https://openalex.org/I141568987"]},{"raw_affiliation_string":"Hong Kong Baptist University","institution_ids":["https://openalex.org/I141568987"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.589,"has_fulltext":false,"cited_by_count":21,"citation_normalized_percentile":{"value":0.81118443,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"19","issue":"2","first_page":"108","last_page":"124"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12123","display_name":"Financial Analysis and Corporate Governance","score":0.0,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.0,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/momentum-effect","display_name":"momentum effect","score":0.871999979019165},{"id":"https://openalex.org/keywords/reversal-effect","display_name":"reversal effect","score":0.9399999976158142},{"id":"https://openalex.org/keywords/winner-and-loser-portfolios","display_name":"winner and loser portfolios","score":0.8199999928474426},{"id":"https://openalex.org/keywords/new-zealand-stock-market","display_name":"New Zealand stock market","score":0.8519999980926514},{"id":"https://openalex.org/keywords/stock-returns","display_name":"stock returns","score":0.31299999356269836},{"id":"https://openalex.org/keywords/small-firm-effect","display_name":"small firm effect","score":0.7549999952316284},{"id":"https://openalex.org/keywords/january-effect","display_name":"January effect","score":0.9760000109672546},{"id":"https://openalex.org/keywords/holding-period","display_name":"holding period","score":0.8799999952316284}],"concepts":[{"id":"https://openalex.org/C129361004","wikidata":"https://www.wikidata.org/wiki/Q2470236","display_name":"Profitability index","level":2,"score":0.6806759238243103},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.670627236366272},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5945496559143066},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.5603863596916199},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.528217077255249},{"id":"https://openalex.org/C60718061","wikidata":"https://www.wikidata.org/wiki/Q1414747","display_name":"Momentum (technical analysis)","level":2,"score":0.5154117345809937},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5079043507575989},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4802439510822296},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.46454811096191406},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.45228737592697144},{"id":"https://openalex.org/C2983001568","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Investment portfolio","level":3,"score":0.41752660274505615},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.332773357629776},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.2066536247730255},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.18073943257331848},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.07511451840400696},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1108/01140580710819889","doi":"https://doi.org/10.1108/01140580710819889","is_oa":false,"landing_page_url":"https://doi.org/10.1108/01140580710819889","pdf_url":null,"source":{"id":"https://openalex.org/S66624660","display_name":"Pacific Accounting Review","issn_l":"0114-0582","issn":["0114-0582","2041-5494"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","norway-1","poland-40","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310319811","host_organization_name":"Emerald Publishing Limited","host_organization_lineage":["https://openalex.org/P4310319811"],"host_organization_lineage_names":["Emerald Publishing Limited"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Pacific Accounting Review","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eme:parpps:01140580710819889","doi":null,"is_oa":false,"landing_page_url":"https://www.emerald.com/insight/content/doi/10.1108/01140580710819889/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":43,"referenced_works":["https://openalex.org/W158727920","https://openalex.org/W1496268815","https://openalex.org/W1562072655","https://openalex.org/W1593031320","https://openalex.org/W1925407788","https://openalex.org/W1965235836","https://openalex.org/W1983152875","https://openalex.org/W1996342403","https://openalex.org/W2006832730","https://openalex.org/W2017709121","https://openalex.org/W2038621549","https://openalex.org/W2048941631","https://openalex.org/W2054249884","https://openalex.org/W2065621499","https://openalex.org/W2067394424","https://openalex.org/W2076540794","https://openalex.org/W2077667717","https://openalex.org/W2081252519","https://openalex.org/W2090637028","https://openalex.org/W2100526182","https://openalex.org/W2103193572","https://openalex.org/W2106798814","https://openalex.org/W2113305199","https://openalex.org/W2116347131","https://openalex.org/W2118685806","https://openalex.org/W2125520394","https://openalex.org/W2129029454","https://openalex.org/W2137822226","https://openalex.org/W2144487825","https://openalex.org/W2150779817","https://openalex.org/W2160343233","https://openalex.org/W2165173008","https://openalex.org/W2175030539","https://openalex.org/W2346520064","https://openalex.org/W2906434056","https://openalex.org/W3004407989","https://openalex.org/W3097267636","https://openalex.org/W3123598380","https://openalex.org/W3123912718","https://openalex.org/W4210795705","https://openalex.org/W4285719527","https://openalex.org/W4301958211","https://openalex.org/W6677596580"],"related_works":["https://openalex.org/W27271361","https://openalex.org/W343346955","https://openalex.org/W2151143718","https://openalex.org/W2213578294","https://openalex.org/W165818461","https://openalex.org/W2125520394","https://openalex.org/W2295489171","https://openalex.org/W164382366","https://openalex.org/W2239261069","https://openalex.org/W3122633276"],"abstract_inverted_index":{"Purpose":[0],"The":[1,36,114,139,228],"purpose":[2],"of":[3,11,43,46,96,117,135,182,200,231],"this":[4,142,158,232],"paper":[5,37,143,233],"is":[6,52,127,155,165,243],"to":[7,32,75,131,248],"examine":[8],"the":[9,16,27,41,47,81,88,104,118,133,162,207,219,224,246],"profitability":[10,134],"return\u2010based":[12],"investment":[13,212],"strategies":[14,23,187,213],"in":[15,54,129,141,157,245,251],"New":[17,252],"Zealand":[18],"stock":[19],"market;":[20],"16":[21],"such":[22,211],"are":[24,73,101,188,193],"examined":[25],"for":[26],"period":[28,62,108,172],"from":[29,121],"January":[30,225],"1995":[31],"December":[33],"2004.":[34],"Design/methodology/approach":[35],"shows":[38,234],"that,":[39],"at":[40],"end":[42],"each":[44],"month":[45],"sample":[48],"period,":[49,177],"every":[50],"security":[51],"ranked":[53],"ascending":[55],"order":[56,130],"using":[57],"their":[58],"past":[59,237,241],"J\u2010month":[60],"formation":[61,171,196],"cumulative":[63],"return":[64,181],"(J=3,":[65],"6,":[66,110],"9":[67],"and":[68,98,112,124,173,197,239],"12).":[69,113],"Then":[70],"these":[71],"securities":[72],"allocated":[74],"three":[76],"groups;":[77],"group":[78,85],"1":[79],"represents":[80,87],"loser":[82,99],"portfolio,":[83],"while":[84],"3":[86],"winner":[89,97],"portfolio.":[90],"Finally,":[91],"equally":[92],"weighted":[93],"average":[94],"returns":[95,119],"portfolios":[100],"calculated":[102],"over":[103],"next":[105],"K\u2010month":[106],"holding":[107,176,198],"(K=3,":[109],"9,":[111],"statistical":[115],"significance":[116],"earned":[120],"buying":[122,236],"winners":[123,238],"shorting":[125],"losers":[126,242],"tested":[128],"determine":[132],"proposed":[136],"strategies.":[137],"Findings":[138],"findings":[140],"show":[144],"that":[145,206,235],"a":[146,152,168,174,179],"strong":[147],"momentum":[148],"effect,":[149,154],"rather":[150],"than":[151],"reversal":[153],"present":[156],"market.":[159],"For":[160],"example,":[161],"strategy,":[163],"which":[164],"based":[166,194],"on":[167,195],"six\u2010month":[169,175],"portfolio":[170],"generates":[178],"monthly":[180],"1.14":[183],"per":[184],"cent.":[185],"These":[186],"most":[189],"profitable":[190,244],"when":[191],"they":[192],"periods":[199],"three\u2010to\u2010six":[201],"months.":[202],"Further":[203],"analyses":[204],"reveal":[205],"profits":[208],"generated":[209],"by":[210,217],"cannot":[214],"be":[215],"explained":[216],"either":[218],"small":[220],"firm":[221],"effect":[222],"or":[223],"effect.":[226],"Originality/value":[227],"main":[229],"implication":[230],"selling":[240],"short":[247],"medium":[249],"run":[250],"Zealand.":[253]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":2},{"year":2020,"cited_by_count":2},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":2},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":3}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2016-06-24T00:00:00"}