An Analysis of Global Contrarian Strategies:Evidence from Large-Scale Individual Stocks
碩士 === 國立中央大學 === 財務金融研究所 === 94 === Abstract Using global data, this study investigates the performance of contrarian strategies for various ranking and holding horizons ranging from one month to three years. In contrast to previous findings, we find the contrarian strategies are substantially pr...
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| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/53594541809759138203 |
| Summary: | 碩士 === 國立中央大學 === 財務金融研究所 === 94 === Abstract
Using global data, this study investigates the performance of contrarian strategies for various ranking and holding horizons ranging from one month to three years. In contrast to previous findings, we find the contrarian strategies are substantially profitable in the global market on all horizons. After conducting the robustness checks such as skipping one month and trimming extreme observations, the market still exhibits contrarian. While there is evidence that the contrarian strategies perform consistently well no matter the aggregate market is bull or bear during the ranking or the holding period. In addition, the contrarian profits are mainly attributable to the overreaction effect. Finally, we find that neither the Fama-French (1993) three-factor model nor the Connor-Korajczyk (1986) five-factor model explains the contrarian profits.
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