Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/15289
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dc.contributor.authorTan, Li Ling.-
dc.contributor.authorLing, Yuet Shan.-
dc.contributor.authorLin, Brenda Tingfang.-
dc.date.accessioned2009-04-23T06:00:21Z-
dc.date.available2009-04-23T06:00:21Z-
dc.date.copyright2009en_US
dc.date.issued2009-
dc.identifier.urihttp://hdl.handle.net/10356/15289-
dc.description.abstractThis 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.en_US
dc.format.extent57 p.en_US
dc.language.isoenen_US
dc.rightsNanyang Technological University-
dc.subjectDRNTU::Business::Finance::Stock exchangesen_US
dc.titleInvestigation of contrarian strategies in the China market.en_US
dc.typeFinal Year Project (FYP)en_US
dc.contributor.supervisorChang Xinen_US
dc.contributor.schoolCollege of Business (Nanyang Business School)en_US
dc.description.degreeBUSINESSen_US
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Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)
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