Intraday Contrarian Investment Strategy

• Main Authors: Chia-Ching Chang, 張佳菁
• Other Authors: 辛敬文
• Format: Others
• Language: en_US
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/66480752316302445229

博士 === 元智大學 === 管理研究所 === 98 === In this paper we explore the profitability of intraday contrarian strategies using NYSE stocks. The results find that buying those loser stocks and selling those winner stocks in the morning session could yield significant returns from holding the positions during the afternoon session. We attempt to explain the contrarian profits with information asymmetry, information uncertainty and short sales constraints. Our results indicate that the intraday contrarian strategy generates the most significant returns for small, low turnover, value stocks and stocks experiencing high selling pressure. These evidences are generally consistent with the argument that stocks with greater degree of information asymmetry, information uncertainty tend to over-react to intraday information and yield greater contrarian profits. We also find that such contrarian strategies are particularly profitable when applied to stocks having experienced high selling pressure in the morning session, with a daily return as high as 0.37%, while they are not when applied to stocks experiencing high buying pressure, possibly attributable to the short sales constraint. Even though the contrarian profits would be wiped out by transaction costs, the findings may still serve as evidences for the relationship between firm characteristics and the level of intraday over-reactions.