Further evidence on the short-term contrarian investment strategy

Chan, Howard, Faff, Robert W., Kalev, Petko S. and Lee, Darren D. (2003) Further evidence on the short-term contrarian investment strategy. Finance Letters, 1 2: 41-45.


Author Chan, Howard
Faff, Robert W.
Kalev, Petko S.
Lee, Darren D.
Title Further evidence on the short-term contrarian investment strategy
Journal name Finance Letters
ISSN 1740-6242
Publication date 2003
Sub-type Article (original research)
Volume 1
Issue 2
Start page 41
End page 45
Total pages 5
Place of publication Edinburgh U.K.
Publisher University of Edinburgh
Language eng
Subject 1503 Business and Management
Abstract We document further evidence of the potential profitability of short-term contrarian investment strategies using Australian data. Such profits are robust to two portfolio weighting schemes, bid-ask bounce, risk, seasonality and volume. When transaction costs are introduced, the profitability largely disappears.
Keyword Market Overreaction
Short-term contrarian investing
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collection: UQ Business School Publications
 
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Created: Wed, 03 May 2006, 02:17:49 EST