return computation

based on this, has generated a great deal of research. Since the late 1980s, momentum strategies have Pacific-Basin Finance Journal 12 (2004) 143–158attracted considerable attention and have been found to be profitable in numerous markets. This paper investigates the returns to short-term and intermediate-horizon momentum strategies in the Australian equity market. We focus on ‘practical ’ or ‘realistic ’ investment strategies, and find that momentum is prevalent in the Australian market and that the returns are of greater magnitude than previously found in overseas markets. These momentum strategy returns are robust to risk adjustment and prevail over time. We also examine the interaction of momentum on size and liquidity variables and conclude that the observed profits to these investment strategies are no