Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/15289
Title: Investigation of contrarian strategies in the China market.
Authors: Tan, Li Ling.
Ling, Yuet Shan.
Lin, Brenda Tingfang.
Keywords: DRNTU::Business::Finance::Stock exchanges
Issue Date: 2009
Abstract: This study investigates the existence of contrarian profits in China stock markets when we buy losers and sell winners. The findings show that in the absence of transaction costs, short-term contrarian strategies do not generate significant profits, whereas significant intermediate and long-term contrarian profits exist. We carry out a two-stage regression to control for risks identified by the Fama and French three-factor model and establish that past returns are predictive of future returns. Our results are robust when using Fama and MacBeth regression. Taken together, our findings suggest that long-term contrarian profits exist in the China stock markets.
URI: http://hdl.handle.net/10356/15289
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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