Cookies

We use cookies to ensure that we give you the best experience on our website. You can change your cookie settings at any time. Otherwise, we'll assume you're OK to continue.


Durham Research Online
You are in:

Sources of contrarian profits and return predictability in emerging markets.

Galariotis, E. C. (2004) 'Sources of contrarian profits and return predictability in emerging markets.', Applied financial economics., 14 (14). pp. 1027-1034.

Abstract

Acknowledging a gap in the literature, the study performs an investigation on short-term contrarian profits and their sources for the Athens Stock Exchange (ASE). The methodology is based on Jegadeesh and Titman (Review of Financial Studies, 8, 973-93, 1995); however, this paper employs annually rebalanced size-sorted subsamples instead of a one-off arrangement throughout the sample period. Other key contributions relate to: (a) testing the effect on the empirical results of the choice of an equally as opposed to a value weighted index as a proxy for the market portfolio, and (b) testing for the January effect following the ongoing discussion and disagreement in the literature on seasonality. Empirical findings suggest that short-run contrarian profits are present in the ASE. Furthermore, although both underreaction to common factors and overreaction to the firm-specific return component, appear to contribute to profits; the contribution of overreaction is much larger than that of underreaction. Not only so, but any contribution of the later is restricted to the month of January. Seasonality however has no effect on firm specific overreaction. The selection of a value weighted or an equally weighted index does not alter the main findings, and thus does not explain predictability for this market.

Item Type:Article
Full text:Full text not available from this repository.
Publisher Web site:http://dx.doi.org/10.1080/0960310042000261802
Record Created:02 Apr 2007
Last Modified:12 Feb 2010 12:27

Social bookmarking: del.icio.usConnoteaBibSonomyCiteULikeFacebookTwitterExport: EndNote, Zotero | BibTex
Usage statisticsLook up in GoogleScholar | Find in a UK Library