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|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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