Short-term contrarian investing - Is it profitable?... Yes and No

Journal of Multinational Financial Management

Volumn 13, Issue 4-5, 2003, Pages 385-404

  Lee, Darren D ^a   Chan, Howard ^a   Faff, Robert W ^a   Kalev, Petko S ^a  

^a MONASH UNIVERSITY   (Australia)

Author keywords

Market efficiency; Market overreaction; Return reversals; Short term contrarian investing

Indexed keywords

EID: 0042209708     PISSN: 1042444X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1042-444X(03)00017-3     Document Type: Article

References (32)

1. Antoniou, A., Galariotis, E.C., Spyrou, S.I., 2001. Contrarian profits and the overreaction hypothesis: the case of the Athens stock exchange. Working Paper, available from: http://www.ssrn.com
2. Ball R. Kothari S.P. Nonstationary expected returns: implications for tests of market efficiency and serial correlation in returns Journal of Financial Economics 25 1989 51-74
3. Blume L. Easley D. O'Hara M. Market statistics and technical analysis: the role of volume Journal of Finance 49 1994 153-182
4. Boudoukh J. Richardson M.P. Whitelaw R.F. A tale of three schools: insights on autocorrelations of short-horizon stock returns Review of Financial Studies 7 1994 539-573
5. Bowman R.G. Iverson D. Short-run overreaction in the New Zealand stock market Pacific-Basin Finance Journal 6 1998 475-491
6. Brailsford T. Easton S. Seasonality in Australian share price indices between 1936 and 1957 Accounting and Finance 31 1991 69-85
7. Brennan M.J. Jegadeesh N. Swaminathan B. Investment analysis and the adjustment of stock prices to common information Review of Financial Studies 6 1993 799-824
8. Brown P. Keim D. Kleidon A. Marsh T. Stock returns, seasonalities, and the tax-loss selling hypothesis: analysis of the arguments and Australian evidence Journal of Financial Economics 12 1983 33-56
9. Campbell J.Y. Grossman S.J. Wang J. Trading volume and serial correlation in stock returns The Quarterly Journal of Economics 108 1993 905-940
10. Chan K.C. On the contrarian investment strategy Journal of Business 61 1988 147-163
11. Chang R.P. Mcleavey D.W. Rhee S.G. Short-term abnormal returns of the contrarian strategy in the Japanese stock market Journal of Business Finance and Accounting 22 1995 1035-1048
12. Chopra N. Lakonishok J. Ritter J.R. Measuring abnormal performance: do stocks overreact Journal of Financial Economics 31 1992 235-268
13. Chordia T. Swaminathan B. Trading volume and cross-autocorrelations in stock returns Journal of Finance 55 1999 913-935
14. Conrad J.S. Kaul G. Mean reversion in short-horizon expected returns Review of Financial Studies 2 1989 225-240
15. Conrad J.S. Kaul G. Long-term market overreaction or biases in computed returns Journal of Finance 48 1993 39-63
16. Conrad J.S. Hameed A. Niden C. Volume and autocovariances in short-horizon individual security returns Journal of Finance 49 1994 1035-1329
17. Conrad J.S. Kaul G. Gultekin M.N. Profitability of short-term contrarian strategies: implications for market efficiency Journal of Business and Economic Statistics 15 1997 386-397
18. Cootner P.H. The Random Character of Stock Market Prices 1964 MIT Press Cambridge
19. Fama E.F. The behaviour of stock market prices Journal of Finance 38 1965 34-105
20. Gaunt C. Gray P. McIvor J. The impact of share price on seasonality and size anomalies in Australian equity returns Accounting and Finance 40 2000 33-50
21. Hameed A. Time varying factors and cross-autocorrelations in short-horizon stock returns Journal of Financial Research 20 1997 435-458
22. Hameed A. Ting S. Trading volume and short-horizon contrarian profits, evidence from Malaysian stock market Pacific-Basin Finance Journal 8 2000 67-84
23. Jegadeesh N. Evidence of predictable behaviour of security returns Journal of Finance 45 1990 881-898
24. Jegadeesh N. Titman S. Returns to buying winners and selling losers: implications for stock market efficiency Journal of Finance 48 1993 65-91
25. Jegadeesh N. Titman S. Overreaction, delayed reaction, and contrarian profits Review of Financial Studies 8 1995 973-993
26. Lehmann B.N. Fads, martingales, and market efficiency Quarterly Journal of Economics 105 1990 1-28
27. Lo A. MacKinlay C. Stock market prices do not follow random walk, evidence from a simple specification test Review of Financial Studies 1 1988 41-66
28. Lo A. MacKinlay C. When are contrarian profits due to stock market overreaction? Review of Financial Studies 3 1990 175-250
29. Mun J.C. Vasconcellos G.M. Kish R. The contrarian/overreaction hypothesis: an analysis of the US and Canadian stock markets Global Finance Journal 11 2000 53-72
30. Ni X. Lui M.-H. Kang J. Contrarian and momentum strategies in the China stock markets: 1993-2001 Pacific-Basin Finance Journal 10 2002 243-265
31. Schiereck D. DeBandt W. Weber M. Contrarian and momentum strategies in Germany Financial Analysts Journal 55 1999 104-116
32. Zarowin P. Size, seasonality, and stock market overreaction Journal of Financial and Quantitative Analysis 25 1990 113-125