Galariotis, E. C. and Holmes, P. R. and Ma, X. S. (2007) 'Contrarian and momentum profitability revisited : evidence from the London Stock Exchange 1964-2005,.', Journal of multinational financial management., 17 (5). pp. 432-447.
We provide evidence relating to contrarian and momentum profits for the LSE, using 64 strategies for all 6531 stocks traded from 1964 to 2005. Thorough analysis demands controlling for key potential (contradictory) explanations of the strategies’ profitability which span psychological characteristics (e.g. overreaction/underreaction), excess risk, seasonality, size, and microstructure induced biases. Results provide a measurement of the miscalculations which occur when ignoring survivorship and microstructure biases. Contrarian/momentum profits cannot be explained by seasonality, size, or a single factor risk model. However, the Fama–French three factor model rationalises all contrarian profits. Important differences are found when examining a truncated sample period demonstrating the need to recognise that financial markets can change markedly through time.
|Keywords:||Overreaction, Underreaction, London Stock Exchange.|
|Full text:||Full text not available from this repository.|
|Publisher Web site:||http://dx.doi.org/10.1016/j.mulfin.2007.01.003|
|Record Created:||20 Feb 2009|
|Last Modified:||12 Feb 2010 12:28|
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